Nonexistence of nonconstant solutions of some degenerate Bellman equations and applications to stochastic control^∗

¹ Department of Mathematics, University of Padova, Via Trieste 63, 35121 Padova, Italy.
bardi@math.unipd.it annalisa.cesaroni@unipd.it; lucar@math.unipd.it
² Department of Statistical Sciences, University of Padova, Italy.

Received: 30 December 2014
Revised: 6 May 2015

Abstract

For a class of Bellman equations in bounded domains we prove that sub- and supersolutions whose growth at the boundary is suitably controlled must be constant. The ellipticity of the operator is assumed to degenerate at the boundary and a condition involving also the drift is further imposed. We apply this result to stochastic control problems, in particular to an exit problem and to the small discount limit related with ergodic control with state constraints. In this context, our condition on the behavior of the operator near the boundary ensures some invariance property of the domain for the associated controlled diffusion process.