Exit Problems as the Generalized Solutions of Dirichlet Problems

DOI10.1137/18M119656XMaRDI QIDQ5232228zbMATH OpenOpenAlexWikidataFDO

Authors Yuecai Han, Qingshuo Song, Gu Wang

Publication date 30 August 2019

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1806.09302

zbMATH Keywords

a-stable processDirichlet boundaryfine topologyfractional Laplacian operatorgeneralized viscosity solutionHJB equationstochastic control problem

Mathematics Subject Classification ID

Nonlinear elliptic equations (35J60) Nonlinear boundary value problems for nonlinear elliptic equations (35J66) Integro-differential operators (47G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Abstract: This paper investigates sufficient conditions for a Feynman-Kac functional up to an exit time to be the generalized viscosity solution of a Dirichlet problem. The key ingredient is to find out the continuity of exit operator under Skorokhod topology, which reveals the intrinsic connection between overfitting Dirichlet boundary and fine topology. As an application, we establish the sub and supersolutions for a class of non-stationary HJB (Hamilton-Jacobi-Bellman) equations with fractional Laplacian operator via Feynman-Kac functionals associated to $alpha$-stable processes, which help verify the solvability of the original HJB equation.

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Cited in

(2)

• An Exit Probability Approach to Solving High Dimensional Dirichlet Problems
• scientific article; zbMATH DE number 4186796 (Why is no real title available?)

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