Hamilton-Jacobi-Bellman Equations Associated to Symmetric Stable Processes

DOI10.2478/V10157-010-0044-2MaRDI QIDQ2999423zbMATH OpenOpenAlexFDO

Authors Adrian Zalinescu

Publication date 13 May 2011

Published in Annals of the Alexandru Ioan Cuza University - Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2478/v10157-010-0044-2

zbMATH Keywords

stochastic controlviscosity solutionsstable processesjump-diffusion processes

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• scientific article; zbMATH DE number 1834045 (Why is no real title available?)
• scientific article; zbMATH DE number 3383329 (Why is no real title available?)
• Continuous dependence estimates for viscosity solutions of integro-PDEs
• Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels

Cited in

(6)

• On \(L^p\)-estimates of stochastic integrals
• Ergodic type Bellman equations of first order with quadratic Hamiltonian
• scientific article; zbMATH DE number 686945 (Why is no real title available?)
• HJB equations with gradient constraint associated with controlled jump-diffusion processes
• On a class of singular stochastic control problems driven by Lévy noise
• A fractional Hamilton Jacobi Bellman equation for scaled limits of controlled continuous time random walks

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