Solution to HJB equations with an elliptic integro-differential operator and gradient constraint

DOI10.1007/s00245-016-9397-6zbMath1401.93228arXiv1605.04993OpenAlexW2396299010MaRDI QIDQ1670367

Harold A. Moreno-Franco

Publication date: 5 September 2018

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

Full work available at URL: https://arxiv.org/abs/1605.04993

zbMATH Keywords

HJB equationLévy processstochastic control problemintegro-differential operatorNIDD problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Regularity of solutions in optimal control (49N60) Existence theories for optimal control problems involving partial differential equations (49J20)

Related Items (3)

Solution to HJB equations with an elliptic integro-differential operator and gradient constraint ⋮ Finite horizon optimal dividend and reinsurance problem driven by a jump-diffusion process with controlled jumps ⋮ HJB Equations with Gradient Constraint Associated with Controlled Jump-Diffusion Processes

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