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

DOI10.1214/19-AAP1473zbMATH Open1469.35212arXiv1709.00193OpenAlexW3000033582MaRDI QIDQ2299580FDOQ2299580

Authors: Ruoting Gong, Chenchen Mou, Andrzej Świȩch 

Publication date: 21 February 2020

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

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.

Full work available at URL: https://arxiv.org/abs/1709.00193

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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)

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Cited In (13)

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