A note on stochastic optimal control of reflected diffusions with jumps
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Publication:1841463
DOI10.1007/BF02459319zbMath0970.93039OpenAlexW1978344635MaRDI QIDQ1841463
Publication date: 2 May 2001
Published in: Applied Mathematics and Mechanics. (English Edition) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf02459319
Hamilton-Jacobi-Bellman equationstochastic optimal controlvalue functionviscosity solutionsPoisson jumpsreflected diffusionsnonlinear Nisio's semigroup
Brownian motion (60J65) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
Cites Work