Viscosity solutions for a system of integro-PDEs and connections to optimal switching and control of jump-diffusion processes

DOI10.1007/s00245-009-9095-8zbMath1197.49028OpenAlexW2040009667MaRDI QIDQ708865

Imran H. Biswas, Espen R. Jakobsen, Kenneth Hvistendahl Karlsen

Publication date: 15 October 2010

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11850/20518

zbMATH Keywords

Lévy processesviscosity solutionsdynamic programming methodintegro-partial differential equationsoptimal stochastic control and switching

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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