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

DOI10.1016/j.na.2013.03.006zbMath1290.49035OpenAlexW2067920468MaRDI 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 controlviscosity solutionHamilton-Jacobi-Bellman equationsLévy measuremulti-valued stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Set-valued and variational analysis (49J53) Ordinary differential equations and systems with randomness (34F05) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Existence of optimal solutions to problems involving randomness (49J55)

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