scientific article; zbMATH DE number 868180

MaRDI QIDQ4874064zbMATH OpenFDO

Authors Henrikas Pragarauskas, R. Mikulevicius

Publication date 23 June 1996

zbMATH Keywords

Cauchy problemviscosity solutionmartingale problemIto processintegro-differential Bellman equation

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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• Regularity properties of viscosity solutions of integro-partial differential equations of Hamilton-Jacobi-Bellman type
• scientific article; zbMATH DE number 4002910 (Why is no real title available?)
• An analytic approach to purely nonlocal Bellman equations arising in models of stochastic control
• On the uniqueness of a solution to the Bellman equation in Sobolev's classes
• Solution to HJB equations with an elliptic integro-differential operator and gradient constraint

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