Stochastic viscosity solutions for stochastic integral-partial differential equations and singular stochastic control

Publication date 15 July 2019

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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.

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