Joint time-state generalized semiconcavity of the value function of a jump diffusion optimal control problem (Q1729834)
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scientific article; zbMATH DE number 7031085
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| English | Joint time-state generalized semiconcavity of the value function of a jump diffusion optimal control problem |
scientific article; zbMATH DE number 7031085 |
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Joint time-state generalized semiconcavity of the value function of a jump diffusion optimal control problem (English)
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28 February 2019
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partial integro-differential Hammilton-Jacobi-Bellman equations
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stochastic finite horizon problem
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0.944654107093811
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0.7968859076499939
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0.7968859076499939
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0.7912560105323792
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0.7888256907463074
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