Browsing by Subject "Stochastic optimal control"

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    On the interior regularity for degenerate elliptic equations.
    (2012-08) Zhou, Wei
    We discuss the concept and motivations of quasiderivatives and give an example constructed by random time change, Girsanov's theorem and Levy's theorem. Then we use this probabilistic technique to investigate the regularity of the probabilistic solution of the Dirichlet problem for degenerate elliptic equations, from linear cases to fully nonlinear cases. In each Dirichlet problem we consider, the probabilistic solution is the unique solution in our setting.