Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations

DOI10.1214/19-AAP1473MaRDI QIDQ2299580zbMATH OpenOpenAlexFDO

Authors Ruoting Gong, Chenchen Mou, Andrzej Świȩch

Publication date 21 February 2020

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1709.00193, https://projecteuclid.org/euclid.aoap/1578366315

zbMATH Keywords

Hamilton-Jacobi-Bellman equationvalue functionviscosity solutionintegro-PDEdynamic programming principlestochastic representation formulaLévy process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Nonlinear initial, boundary and initial-boundary value problems for nonlinear parabolic equations (35K61) Degenerate parabolic equations (35K65) Integro-partial differential equations (35R09) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Abstract: We prove a stochastic representation formula for the viscosity solution of Dirichlet terminal-boundary value problem for a degenerate Hamilton-Jacobi-Bellman integro-partial differential equation in a bounded domain. We show that the unique viscosity solution is the value function of the associated stochastic optimal control problem. We also obtain the dynamic programming principle for the associated stochastic optimal control problem in a bounded domain.

Recommendations

• scientific article; zbMATH DE number 1985418
• Viscosity solutions of stochastic Hamilton-Jacobi-Bellman equations
• Publication:4944459
• On Stochastic Representation for Solutions of the Dirichlet Problem for Elliptic Equations in Divergence Form
• scientific article; zbMATH DE number 1494227

Cites work

• scientific article; zbMATH DE number 2134185 (Why is no real title available?)
• scientific article; zbMATH DE number 4180191 (Why is no real title available?)
• scientific article; zbMATH DE number 14969 (Why is no real title available?)
• scientific article; zbMATH DE number 140601 (Why is no real title available?)
• scientific article; zbMATH DE number 4125214 (Why is no real title available?)
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• scientific article; zbMATH DE number 1113627 (Why is no real title available?)
• scientific article; zbMATH DE number 1147065 (Why is no real title available?)
• scientific article; zbMATH DE number 1776586 (Why is no real title available?)
• scientific article; zbMATH DE number 823375 (Why is no real title available?)
• A Feynman-Kac-type formula for Lévy processes with discontinuous killing rates
• A ``maximum principle for semicontinuous functions applicable to integro-partial differential equations
• A representation formula and regularizing properties for viscosity solutions of second-order fully nonlinear degenerate parabolic equations
• Another approach to the existence of value functions of stochastic differential games
• Applied stochastic control of jump diffusions
• Backward stochastic differential equations and Feynman-Kac formula for Lévy processes, with applications in finance
• Backward stochastic differential equations and integral-partial differential equations
• Compactification methods in the control of degenerate diffusions: existence of an optimal control
• Controlled Markov processes and viscosity solutions
• Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions
• Existence of \(C^\alpha \) solutions to integro-PDEs
• Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
• Feynman–Kac formulas for regime-switching jump diffusions and their applications
• Integro-PDE in Hilbert spaces: existence of viscosity solutions
• Local differentiability of distance functions
• Lévy Processes and Stochastic Calculus
• On Distributions of Certain Wiener Functionals
• On zero-sum stochastic differential games with jump-diffusion driven state: a viscosity solution framework
• Optimal Control with State-Space Constraint. II
• Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
• Optimal control problem associated with jump processes
• Optimal stochastic control, stochastic target problems, and backward SDE.
• Perron's method for nonlocal fully nonlinear equations
• Regularity concepts in nonsmooth analysis. Theory and applications
• Remarks on Schauder estimates and existence of classical solutions for a class of uniformly parabolic Hamilton-Jacobi-Bellman integro-PDEs
• Representation formulas for solutions of Isaacs integro-PDE
• Representation of solutions to BSDEs associated with a degenerate FSDE
• Representation theorems for backward stochastic differential equations
• Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
• Space-time approach to non-relativistic quantum mechanics
• Stochastic Control Theory
• Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
• Stochastic Partial Differential Equations with Levy Noise
• Stochastic representation for solutions of Isaacs' type integral-partial differential equations
• The Dirichlet problem for stable-like operators and related probabilistic representations
• Value functions and the Dirichlet problem for Isaacs equation in a smooth domain
• Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes

Cited in

(13)

• scientific article; zbMATH DE number 497467 (Why is no real title available?)
• scientific article; zbMATH DE number 1419772 (Why is no real title available?)
• Stochastic representation of solutions to degenerate elliptic and parabolic boundary value and obstacle problems with Dirichlet boundary conditions
• Existence of \(C^\alpha \) solutions to integro-PDEs
• Remarks on Schauder estimates and existence of classical solutions for a class of uniformly parabolic Hamilton-Jacobi-Bellman integro-PDEs
• On Stochastic Representation for Solutions of the Dirichlet Problem for Elliptic Equations in Divergence Form
• scientific article; zbMATH DE number 5680008 (Why is no real title available?)
• A Stochastic Representation for Nonlocal Parabolic PDEs with Applications
• Regularity theory for second order integro-PDEs
• The Dirichlet problem for stable-like operators and related probabilistic representations
• An analytic approach to purely nonlocal Bellman equations arising in models of stochastic control
• scientific article; zbMATH DE number 1985418 (Why is no real title available?)
• Optimal investment and dividend strategy under renewal risk model

This page was built for publication: Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2299580)