Joint time-state generalized semiconcavity of the value function of a jump diffusion optimal control problem

DOI10.1007/s00030-018-0550-6zbMath1409.35053OpenAlexW2909512542WikidataQ128560026 ScholiaQ128560026MaRDI QIDQ1729834

Ermal Feleqi

Publication date: 28 February 2019

Published in: NoDEA. Nonlinear Differential Equations and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00030-018-0550-6

zbMATH Keywords

partial integro-differential Hammilton-Jacobi-Bellman equationsstochastic finite horizon problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Convexity properties of solutions to PDEs with constant coefficients (35E10) Hamilton-Jacobi equations (35F21) PDEs in connection with control and optimization (35Q93)

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