Le Matematiche (Nov 2000)

Semiconcavity of the value function for an exit time problem with degenerate cost

  • Piermarco Cannarsa,
  • Cristina Pignotti

Journal volume & issue
Vol. 55, no. 4
pp. 71 – 108

Abstract

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A simple exit time problem with degenerate cos is here considered. Using a new technique for constructing admissible trajectories, a semiconcavity result for the value function ν is obtained. Such a property of ν is then applied to obtain optimality conditions.