Joint time-state generalized semiconcavity of the value function of a jump diffusion optimal control problem
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Publication:1729834
DOI10.1007/s00030-018-0550-6zbMath1409.35053OpenAlexW2909512542WikidataQ128560026 ScholiaQ128560026MaRDI QIDQ1729834
Publication date: 28 February 2019
Published in: NoDEA. Nonlinear Differential Equations and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00030-018-0550-6
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Convexity properties of solutions to PDEs with constant coefficients (35E10) Hamilton-Jacobi equations (35F21) PDEs in connection with control and optimization (35Q93)
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