Nonlinear potentials of the Cauchy-Dirichlet problem for the integrodifferential Bellman equation (Q1366386): Difference between revisions

The authors give sufficient conditions under which the Cauchy-Dirichlet problem for the integro-differential Bellman equation corresponding to the optimal control of Itô's equations has a nonlinear potential [see, e.g., \textit{G. V. Nosovskij}, Acta Appl. Math. 30, No. 2, 101-123 (1993; Zbl 0773.49014)] treated as a viscosity solution Lipschitz continuous in \(x\) and Hölder continuous in \(t\) with the exponent \(1/2\). Moreover the potential coincides with the payoff function for controlled Itô processes with boundary conditions associated with this problem. The assertion is proved in the final section based on introducing the payoff functions satisfying the Bellman principle. In the preceding sections the solvability of this problem for uniformly nondegenerate linear integro-differential operators in Hölder classes is also discussed together with the above-mentioned continuity properties of nonlinear potentials for the family of linear operators introduced in Section 2.