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

Latest revision as of 07:47, 3 July 2024

scientific article

Language	Label	Description	Also known as
English	Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes	scientific article

Statements

instance of

scholarly article

0 references

title

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

0 references

author

Imran H. Biswas

0 references

Espen R. Jakobsen

0 references

Kenneth Hvistendahl Karlsen

0 references

published in

Applied Mathematics and Optimization

0 references

publication date

15 October 2010

0 references

full work available at URL

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

0 references

zbMATH Keywords

integro-partial differential equations

0 references

dynamic programming method

0 references

viscosity solutions

0 references

optimal stochastic control and switching

0 references

Lévy processes

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

Viscosity solutions of nonlinear integro-differential equations

0 references

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

0 references

DOI

10.1007/s00245-009-9095-8

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:708865

@@ Property / cites work @@
+Viscosity solutions of nonlinear integro-differential equations
+Normal rank
@@ 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