Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes (Q708865): Difference between revisions

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English	Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes	scientific article

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instance of

scholarly article

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title

Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes (English)

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author

Imran H. Biswas

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Espen R. Jakobsen

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Kenneth Hvistendahl Karlsen

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published in

Applied Mathematics and Optimization

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publication date

15 October 2010

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full work available at URL

http://hdl.handle.net/20.500.11850/20518

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zbMATH Keywords

integro-partial differential equations

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dynamic programming method

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viscosity solutions

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optimal stochastic control and switching

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Lévy processes

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MaRDI profile type

MaRDI publication profile

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cites work

Viscosity solutions of nonlinear integro-differential equations

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Nonlinear integro-differential evolution problems arising in option pricing: a viscosity solutions approach.

0 references

Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations

0 references

Backward stochastic differential equations and integral-partial differential equations

0 references

On the Dirichlet problem for second-order elliptic integro-differential equations

0 references

Second-order elliptic integro-differential equations: viscosity solutions' theory revisited

0 references

On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations

0 references

Error Bounds for Monotone Approximation Schemes for Hamilton--Jacobi--Bellman Equations

0 references

Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations

0 references

Stochastic Differential Games with Multiple Modes and Applications to Portfolio Optimization

0 references

Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach

0 references

Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs

0 references

Q4269108

0 references

Difference-Quadrature Schemes for Nonlinear Degenerate Parabolic Integro-PDE

0 references

Error estimates for a stochastic impulse control problem

0 references

Regularity theory for fully nonlinear integro-differential equations

0 references

A rate of convergence for monotone finite difference approximations to fully nonlinear, uniformly elliptic PDEs

0 references

Optimal Switching for Ordinary Differential Equations

0 references

Financial Modelling with Jump Processes

0 references

User’s guide to viscosity solutions of second order partial differential equations

0 references

Optimal Stochastic Switching and the Dirichlet Problem for the Bellman Equation

0 references

An Optimal Stochastic Production Planning Problem with Randomly Fluctuating Demand

0 references

Q4032143

0 references

Q4205251

0 references

Perron's method for Hamilton-Jacobi equations

0 references

Q3978270

0 references

Viscosity solutions for monotone systems of second–order elliptic PDES

0 references

Optimal control problem associated with jump processes

0 references

Q4530279

0 references

Continuous dependence estimates for viscosity solutions of integro-PDEs

0 references

A ``maximum principle for semicontinuous functions'' applicable to integro-partial differential equations

0 references

On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients

0 references

The rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients

0 references

Switching control of piecewise-deterministic processes

0 references

Applied stochastic control of jump diffusions.

0 references

Q4386544

0 references

Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels

0 references

Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels

0 references

Production control of a manufacturing system with multiple machine states

0 references

Optimal switching for partial differential equations. I

0 references

Optimal switching for partial differential equations. II

0 references

Switching Games of Stochastic Differential Systems

0 references

Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach

0 references

Systems governed by ordinary differential equations with continuous, switching and impulse controls

0 references

Q3781466

0 references

Identifiers

zbMATH Open document ID

1197.49028

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DOI

10.1007/s00245-009-9095-8

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Mathematics Subject Classification ID

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0 references

Sitelinks

Mathematics(1 entry)

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+Viscosity solutions of nonlinear integro-differential equations
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@@ Property / cites work @@
+Nonlinear integro-differential evolution problems arising in option pricing: a viscosity solutions approach.
+Normal rank
@@ Property / cites work @@
+Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations and integral-partial differential equations
+Normal rank
@@ Property / cites work @@
+On the Dirichlet problem for second-order elliptic integro-differential equations
+Normal rank
@@ Property / cites work @@
+Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
+Normal rank
@@ Property / cites work @@
+On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
+Normal rank
@@ Property / cites work @@
+Error Bounds for Monotone Approximation Schemes for Hamilton--Jacobi--Bellman Equations
+Normal rank
@@ Property / cites work @@
+Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
+Normal rank
@@ Property / cites work @@
+Stochastic Differential Games with Multiple Modes and Applications to Portfolio Optimization
+Normal rank
@@ Property / cites work @@
+Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
+Normal rank
@@ Property / cites work @@
+Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs
+Normal rank
@@ Property / cites work @@
+Q4269108
@@ Property / cites work: Q4269108 / rank @@
+Normal rank
@@ Property / cites work @@
+Difference-Quadrature Schemes for Nonlinear Degenerate Parabolic Integro-PDE
+Normal rank
@@ Property / cites work @@
+Error estimates for a stochastic impulse control problem
+Normal rank
@@ Property / cites work @@
+Regularity theory for fully nonlinear integro-differential equations
+Normal rank
@@ Property / cites work @@
+A rate of convergence for monotone finite difference approximations to fully nonlinear, uniformly elliptic PDEs
+Normal rank
@@ Property / cites work @@
+Optimal Switching for Ordinary Differential Equations
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+User’s guide to viscosity solutions of second order partial differential equations
+Normal rank
@@ Property / cites work @@
+Optimal Stochastic Switching and the Dirichlet Problem for the Bellman Equation
+Normal rank
@@ Property / cites work @@
+An Optimal Stochastic Production Planning Problem with Randomly Fluctuating Demand
+Normal rank
@@ Property / cites work @@
+Q4032143
@@ Property / cites work: Q4032143 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4205251
@@ Property / cites work: Q4205251 / rank @@
+Normal rank
@@ Property / cites work @@
+Perron's method for Hamilton-Jacobi equations
@@ Property / cites work: Perron's method for Hamilton-Jacobi equations / rank @@
+Normal rank
@@ Property / cites work @@
+Q3978270
@@ Property / cites work: Q3978270 / rank @@
+Normal rank
@@ Property / cites work @@
+Viscosity solutions for monotone systems of second–order elliptic PDES
+Normal rank
@@ Property / cites work @@
+Optimal control problem associated with jump processes
+Normal rank
@@ Property / cites work @@
+Q4530279
@@ Property / cites work: Q4530279 / rank @@
+Normal rank
@@ Property / cites work @@
+Continuous dependence estimates for viscosity solutions of integro-PDEs
+Normal rank
@@ Property / cites work @@
+A ``maximum principle for semicontinuous functions'' applicable to integro-partial differential equations
+Normal rank
@@ Property / cites work @@
+On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
+Normal rank
@@ Property / cites work @@
+The rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients
+Normal rank
@@ Property / cites work @@
+Switching control of piecewise-deterministic processes
+Normal rank
@@ Property / cites work @@
+Applied stochastic control of jump diffusions.
@@ Property / cites work: Applied stochastic control of jump diffusions. / rank @@
+Normal rank
@@ Property / cites work @@
+Q4386544
@@ Property / cites work: Q4386544 / rank @@
+Normal rank
@@ Property / cites work @@
+Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels
+Normal rank
@@ Property / cites work @@
+Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels
+Normal rank
@@ Property / cites work @@
+Production control of a manufacturing system with multiple machine states
+Normal rank
@@ Property / cites work @@
+Optimal switching for partial differential equations. I
+Normal rank
@@ Property / cites work @@
+Optimal switching for partial differential equations. II
+Normal rank
@@ Property / cites work @@
+Switching Games of Stochastic Differential Systems
+Normal rank
@@ Property / cites work @@
+Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach
+Normal rank
@@ Property / cites work @@
+Systems governed by ordinary differential equations with continuous, switching and impulse controls
+Normal rank
@@ Property / cites work @@
+Q3781466
@@ Property / cites work: Q3781466 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:708865