Solution to HJB equations with an elliptic integro-differential operator and gradient constraint

DOI10.1007/S00245-016-9397-6MaRDI QIDQ1670367zbMATH OpenOpenAlexFDO

Authors Harold A. Moreno-Franco

Publication date 5 September 2018

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1605.04993

zbMATH Keywords

HJB equationstochastic control problemintegro-differential operatorNIDD problemLévy process

Mathematics Subject Classification ID

Regularity of solutions in optimal control (49N60) Existence theories for optimal control problems involving partial differential equations (49J20) Optimal stochastic control (93E20)

Abstract: The main goal of this paper is to establish existence, regularity and uniqueness results for the solution of a Hamilton-Jacobi-Bellman (HJB) equation, whose operator is an elliptic integro-differential operator. The HJB equation studied in this work arises in singular stochastic control problems where the state process is a controlled $d$-dimensional L'evy process.

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Cited in

(6)

• Application of maximal monotone operator method for solving Hamilton-Jacobi-Bellman equation arising from optimal portfolio selection problem
• A problem of symmetric variational equation
• Solution to HJB equations with an elliptic integro-differential operator and gradient constraint
• On Hamilton-Jacobi-Bellman equations with convex gradient constraints
• HJB equations with gradient constraint associated with controlled jump-diffusion processes
• Finite horizon optimal dividend and reinsurance problem driven by a jump-diffusion process with controlled jumps

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