The optimal control problem associated with multi-valued stochastic differential equations with jumps

DOI10.1016/j.na.2013.03.006zbMath1290.49035MaRDI QIDQ392460

Jing Wu, Jiangang Ren

Publication date: 14 January 2014

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2013.03.006

zbMATH Keywords

optimal control; viscosity solution; Hamilton-Jacobi-Bellman equations; Lévy measure; multi-valued stochastic differential equation

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

49L20: Dynamic programming in optimal control and differential games

49J53: Set-valued and variational analysis

34F05: Ordinary differential equations and systems with randomness

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

49J55: Existence of optimal solutions to problems involving randomness

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