Integro-PDE in Hilbert spaces: existence of viscosity solutions
DOI10.1007/S11118-016-9563-0zbMATH Open1352.49025OpenAlexW2462293311MaRDI QIDQ345036FDOQ345036
Authors: Andrzej Świȩch, Jerzy Zabczyk 
Publication date: 25 November 2016
Published in: Potential Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11118-016-9563-0
Recommendations
- Viscosity solutions of nonlinear second-order partial differential equations in hilbert spaces
- Viscosity solutions for a class of Hamilton-Jacobi equations in Hilbert spaces
- Well-posed solvability of Volterra integro-differential equations in Hilbert spaces
- Well-posed solvability of Volterra integro-differential equations in Hilbert space
- Uniqueness for integro-PDE in Hilbert spaces
- scientific article; zbMATH DE number 4103711
- scientific article; zbMATH DE number 5142011
- Solvability of some partial integral equations in Hilbert space
- Existence of \(C^\alpha \) solutions to integro-PDEs
- scientific article; zbMATH DE number 4103522
[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+process&go=Go L��vy process]Hamilton-Jacobi-Bellman equationviscosity solutionsintegro-PDEmathematical financedynamic programming principlestochastic PDE
Processes with independent increments; Lévy processes (60G51) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Viscosity solutions to PDEs (35D40) Nonlinear initial, boundary and initial-boundary value problems for linear parabolic equations (35K60) Integro-partial differential equations (35R09) Existence of optimal solutions to problems involving randomness (49J55) 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) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
Cites Work
- Financial Modelling with Jump Processes
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- On zero-sum stochastic differential games with jump-diffusion driven state: a viscosity solution framework
- Lévy Processes and Stochastic Calculus
- Title not available (Why is that?)
- Title not available (Why is that?)
- Applied stochastic control of jump diffusions
- Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes
- Backward stochastic differential equations and integral-partial differential equations
- Title not available (Why is that?)
- Stochastic Equations in Infinite Dimensions
- Stochastic Partial Differential Equations with Levy Noise
- Consistency problems for Heath-Jarrow-Morton interest rate models
- Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
- Uniqueness for stochastic evolution equations in Banach spaces
- Viscosity solutions of an infinite-dimensional Black-Scholes-Barenblatt equation
- Bellman's inclusions and excessive measures
- Optimal control problem associated with jump processes
- Optimal Control with State-Space Constraint. II
- Title not available (Why is that?)
- Stochastic representation for solutions of Isaacs' type integral-partial differential equations
- Perturbations of generalized Mehler semigroups and applications to stochastic heat equations with Levy noise and singular drift
- Viscosity solutions of Hamilton-Jacobi equations in infinite dimensions. IV: Hamiltonians with unbounded linear terms
- Uniqueness for integro-PDE in Hilbert spaces
- Stochastic Optimal Control in Infinite Dimension
- Title not available (Why is that?)
- Title not available (Why is that?)
- Polar decomposition of positive operators and a problem of crandall and lions
- Lévy-Ornstein-Uhlenbeck transition semigroup as second quantized operator
- Representation formulas for solutions of Isaacs integro-PDE
- Large deviations for stochastic PDE with Lévy noise
- Liouville theorems for non-local operators
- On the infinitesimal generators of Ornstein-Uhlenbeck processes with jumps in Hilbert space
- On the Cauchy problem for non-local Ornstein-Uhlenbeck operators
Cited In (9)
- Regularity properties of viscosity solutions of integro-partial differential equations of Hamilton-Jacobi-Bellman type
- Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations
- Optimal control of infinite-dimensional piecewise deterministic Markov processes: a BSDE approach. Application to the control of an excitable cell membrane
- Viscosity solutions to Hamilton-Jacobi-Bellman equations associated with sublinear Lévy(-type) processes
- BSDE representation and randomized dynamic programming principle for stochastic control problems of infinite-dimensional jump-diffusions
- Stochastic optimization of a mixed moving average process for controlling non-Markovian streamflow environments
- Perron's method for nonlocal fully nonlinear equations
- Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems
- Uniqueness for integro-PDE in Hilbert spaces
This page was built for publication: Integro-PDE in Hilbert spaces: existence of viscosity solutions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q345036)
