Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems
From MaRDI portal
Publication:5013561
DOI10.1137/20M1314823MaRDI QIDQ5013561
Publication date: 1 December 2021
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1906.04430
viscosity solutionmodel uncertaintyFeller processnonlinear expectationfully nonlinear PDEsemigroup envelope
Semigroups of nonlinear operators (47H20) Generalized stochastic processes (60G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
Related Items
Viscous Hamilton-Jacobi equations in exponential Orlicz hearts, Convex monotone semigroups on lattices of continuous functions, Nonlinear semigroups built on generating families and their Lipschitz sets, Non-linear affine processes with jumps, Wasserstein perturbations of Markovian transition semigroups, A generalized stochastic process: fractional \(G\)-Brownian motion, A universal robust limit theorem for nonlinear Lévy processes under sublinear expectation
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Integro-PDE in Hilbert spaces: existence of viscosity solutions
- Financial markets with volatility uncertainty
- Wellposedness of second order backward SDEs
- Martingale representation theorem for the \(G\)-expectation
- Adapted solution of a backward stochastic differential equation
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- Second-order BSDEs with jumps: formulation and uniqueness
- Semigroups of linear operators and applications to partial differential equations
- Uniform convergence of operators on \(L^{\infty}\) and similar spaces
- On a non-linear semi-group attached to stochastic optimal control
- Verification theorems for stochastic optimal control problems in Hilbert spaces by means of a generalized Dynkin formula
- Kolmogorov-type and general extension results for nonlinear expectations
- Filtration-consistent nonlinear expectations and related \(g\)-expectations
- Generalized Mehler semigroups and applications
- Uniqueness for integro-PDE in Hilbert spaces
- Generalized Mehler semigroups: The non-Gaussian case
- \(G\)-Lévy processes under sublinear expectations
- A semigroup approach to nonlinear Lévy processes
- Second order BSDEs with jumps: existence and probabilistic representation for fully-nonlinear PIDEs
- Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
- Nonlinear Lévy processes and their characteristics
- A Short Introduction to Viscosity Solutions and the Large Time Behavior of Solutions of Hamilton–Jacobi Equations
- Stochastic Optimal Control in Infinite Dimension
- Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
- One-Parameter Semigroups for Linear Evolution Equations
- Backward Stochastic Differential Equations in Finance
- Pricing and hedging derivative securities in markets with uncertain volatilities
- Viscosity solutions to Hamilton-Jacobi-Bellman equations associated with sublinear L\'evy(-type) processes
