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

DOI10.1007/S00245-016-9397-6zbMATH Open1401.93228arXiv1605.04993OpenAlexW2396299010MaRDI QIDQ1670367FDOQ1670367

Harold A. Moreno-Franco

Publication date: 5 September 2018

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

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.

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

Recommendations

• HJB equations with gradient constraint associated with controlled jump-diffusion processes
• Analysis of Hamilton-Jacobi-Bellman equations arising in stochastic singular control
• On Hamilton-Jacobi-Bellman equations with convex gradient constraints
• scientific article; zbMATH DE number 868180
• Sobolev weak solutions of the Hamilton-Jacobi-Bellman equations

zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+process&go=Go L��vy process]HJB equationstochastic control problemintegro-differential operatorNIDD problem

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Elliptic partial differential equations of second order
• Title not available (Why is that?)
• Controlled diffusion models for optimal dividend pay-out
• On the optimal dividend problem for a spectrally negative Lévy process
• Controlled Markov processes and viscosity solutions
• Linear and quasilinear elliptic equations
• Optimization of the flow of dividends
• On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
• Fluctuations of Lévy processes with applications. Introductory lectures
• Title not available (Why is that?)
• On a Classical Risk Model with a Constant Dividend Barrier
• OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMER-LUNDBERG MODEL
• Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process
• Title not available (Why is that?)
• Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
• The pullback equation for differential forms
• Distribution of the Present Value of Dividend Payments in a Lévy Risk Model
• Optimal risk and dividend distribution control models for an insurance company
• Title not available (Why is that?)
• Impulse Control of Multidimensional Jump Diffusions
• A Remark on Bony Maximum Principle
• Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem
• Optimal Policies forn-Dimensional Singular Stochastic Control Problems Part I: The Skorokhod Problem
• Existence and regularity results for solutions of second-order, elliptic, integrodifferential operators
• Boundary regulatity and uniqueness for an elliptic equations with gradient constraint
• A second order elliptic equation with gradient constraint
• The Eigenvalue Problem of Singular Ergodic Control
• Analysis of Hamilton-Jacobi-Bellman equations arising in stochastic singular control
• Integro-differential operators associated with diffusion processes with jumps
• Title not available (Why is that?)
• Optimisation in Non-Life Insurance
• Optimal correction problem of a multidimensional stochastic system
• Correction: Integro-differential operators associated with diffusion processes with jumps
• Singular ergodic control for multidimensional Gaussian–Poisson processes
• Solution to HJB equations with an elliptic integro-differential operator and gradient constraint
• On the impulse control of jump diffusions

Cited In (4)

• HJB Equations with Gradient Constraint Associated with Controlled Jump-Diffusion Processes
• A problem of symmetric variational equation
• Solution to HJB equations with an elliptic integro-differential operator and gradient constraint
• Finite horizon optimal dividend and reinsurance problem driven by a jump-diffusion process with controlled jumps

This page was built for publication: Solution to HJB equations with an elliptic integro-differential operator and gradient constraint

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1670367)