Stochastic viscosity solutions for stochastic integral-partial differential equations and singular stochastic control
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Publication:6322158
arXiv1907.06812MaRDI QIDQ6322158FDOQ6322158
Publication date: 15 July 2019
Abstract: In this article, we mainly study stochastic viscosity solutions for a class of semilinear stochastic integral-partial differential equations (SIPDEs). We investigate a new class of generalized backward doubly stochastic differential equations (GBDSDEs) driven by two independent Brownian motions and an independent Poisson random measure, which involves an integral with respect to a c`{a}dl`{a}g increasing process. We first derive existence and uniqueness of the solution of GBDSDEs with general jumps. We then introduce the definition of stochastic viscosity solutions of SIPDEs and give a probabilistic representation for stochastic viscosity solutions of semilinear SIPDEs with nonlinear Neumann boundary conditions. Finally, we establish stochastic maximum principles for the optimal control of a stochastic system modelled by a GBDSDE with general jumps.
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)
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