Nonlinear potentials of the Cauchy-Dirichlet problem for the integrodifferential Bellman equation (Q1366386): Difference between revisions
From MaRDI portal
Removed claim: author (P16): Item:Q282595 |
Changed an Item |
||
Property / author | |||
Property / author: Remigijus Mikulevičius / rank | |||
Normal rank |
Revision as of 11:28, 12 February 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Nonlinear potentials of the Cauchy-Dirichlet problem for the integrodifferential Bellman equation |
scientific article |
Statements
Nonlinear potentials of the Cauchy-Dirichlet problem for the integrodifferential Bellman equation (English)
0 references
30 October 1997
0 references
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.
0 references
viscosity solution
0 references
Cauchy-Dirichlet problem
0 references
integro-differential Bellman equation
0 references
martingale
0 references
stochastic optimal control
0 references
nonlinear potential
0 references
Hölder class
0 references
Lipschitz continuity
0 references