Generalized semiconcavity of the value function of a jump diffusion optimal control problem

DOI10.1007/S00030-014-0304-ZzbMath1326.35411OpenAlexW2067786110MaRDI QIDQ497405

Ermal Feleqi

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

zbMATH Keywords

optimal controlvalue functionpartial integro-differential equationsjump diffusionsgeneralized semiconcavityHammilton-Jacobi-Bellman equations

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Convexity properties of solutions to PDEs with constant coefficients (35E10) Integro-partial differential equations (35R09) PDEs in connection with control and optimization (35Q93)

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