Stochastic control problems for systems driven by normal martingales

DOI10.1214/07-AAP467zbMath1141.93065arXiv0706.4018OpenAlexW2063878212MaRDI QIDQ2426608

Jin Ma, Rainer Buckdahn, Catherine Rainer

Publication date: 23 April 2008

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0706.4018

zbMATH Keywords

viscosity solutionHJB equationBellman principlestructure equationnormal martingalespartial differential/difference equation

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (1)

Local asymptotics for controlled martingales

Cites Work

• Optimal reinsurance/investment problems for general insurance models
• Weak limit theorems for stochastic integrals and stochastic differential equations
• Complete markets with discontinuous security price
• Anticipating integrals for a class of martingales
• Viscosity solutions of nonlinear integro-differential equations
• Chaotic representation property of certain Azéma martingales
• Backward stochastic differential equations and integral-partial differential equations
• User’s guide to viscosity solutions of second order partial differential equations
• Non-linear degenerate integro-partial differential evolution equations related to geometric Lévy processes and applications to backward stochastic differential equations
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