A new definition of viscosity solutions for a class of second-order degenerate elliptic integro-differential equations

DOI10.1016/J.ANIHPC.2005.09.002zbMath1105.45004OpenAlexW2000587183MaRDI QIDQ850174

Mariko Arisawa

Publication date: 15 November 2006

Published in: Annales de l'Institut Henri Poincaré. Analyse Non Linéaire (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPC_2006__23_5_695_0

zbMATH Keywords

viscosity subsolutionviscosity supersolutionviscosity solutionsLévy operator

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (11)

Consumption-investment problem with transaction costs for Lévy-driven price processes ⋮ Optimal Stopping Problem Associated with Jump-diffusion Processes ⋮ Corrigendum for comparison theorems in: ``A new definition of viscosity solutions for a class of second-order degenerate elliptic integro-differential equations ⋮ Uniqueness of viscosity solutions for a class of integro-differential equations ⋮ Uniqueness for integro-PDE in Hilbert spaces ⋮ Regularity results for fully nonlinear integro-differential operators with nonsymmetric positive kernels: subcritical case ⋮ Second-order elliptic integro-differential equations: viscosity solutions' theory revisited ⋮ A remark on the definitions of viscosity solutions for the integro-differential equations with Lévy operators ⋮ Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions ⋮ Homogenization of a Class of Integro-Differential Equations with Lévy Operators ⋮ Coupling Lévy measures and comparison principles for viscosity solutions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Corrigendum for comparison theorems in: ``A new definition of viscosity solutions for a class of second-order degenerate elliptic integro-differential equations
• Minimal entropy martingale measures of jump type price processes in incomplete assets markets
• Existence and regularity results for solutions of second-order, elliptic, integrodifferential operators
• A non-local regularization of first order Hamilton-Jacobi equations
• Viscosity solutions of nonlinear integro-differential equations
• Some ergodic problems for Hamilton-Jacobi equations in Hilbert space
• Backward stochastic differential equations and integral-partial differential equations
• User’s guide to viscosity solutions of second order partial differential equations
• Financial Modelling with Jump Processes
• Computational Methods for Option Pricing
• Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
• Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels

This page was built for publication: A new definition of viscosity solutions for a class of second-order degenerate elliptic integro-differential equations