Generalized semiconcavity of the value function of a jump diffusion optimal control problem
DOI10.1007/s00030-014-0304-zzbMath1326.35411MaRDI QIDQ497405
Publication date: 24 September 2015
Published in: NoDEA. Nonlinear Differential Equations and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00030-014-0304-z
optimal control; value function; partial integro-differential equations; jump diffusions; generalized semiconcavity; Hammilton-Jacobi-Bellman equations
60J25: Continuous-time Markov processes on general state spaces
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
35E10: Convexity properties of solutions to PDEs with constant coefficients
35R09: Integro-partial differential equations
35Q93: PDEs in connection with control and optimization
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