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

DOI10.1007/s00245-009-9095-8zbMath1197.49028MaRDI QIDQ708865

Imran H. Biswas, Espen R. Jakobsen, Kenneth Hvistendahl Karlsen

Publication date: 15 October 2010

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11850/20518

zbMATH Keywords

Lévy processes; viscosity solutions; dynamic programming method; integro-partial differential equations; optimal stochastic control and switching

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

Related Items

On the Rate of Convergence for Monotone Numerical Schemes for Nonlocal Isaacs Equations, Viscosity solutions to Hamilton-Jacobi-Bellman equations associated with sublinear L\'evy(-type) processes, Error estimates for second order Hamilton-Jacobi-Bellman equations. Approximation of probabilistic reachable sets, Integro-PDE in Hilbert spaces: existence of viscosity solutions, Continuous dependence estimates and homogenization of quasi-monotone systems of fully nonlinear second order parabolic equations, Systems of variational inequalities for non-local operators related to optimal switching problems: existence and uniqueness, A piecewise deterministic Markov toy model for traffic/maintenance and associated Hamilton-Jacobi integrodifferential systems on networks, Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions, Systems of variational inequalities in the context of optimal switching problems and operators of Kolmogorov type, Systems of integro-PDEs with interconnected obstacles and multi-modes switching problem driven by Lévy process, Viscosity solutions of systems of variational inequalities with interconnected bilateral obstacles of non-local type, Uniqueness for integro-PDE in Hilbert spaces, Perron's method for nonlocal fully nonlinear equations, Existence, uniqueness and regularity of solutions to systems of nonlocal obstacle problems related to optimal switching, Robust Feedback Switching Control: Dynamic Programming and Viscosity Solutions

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