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

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

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

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 processes; viscosity solutions; dynamic programming method; integro-partial differential equations; optimal stochastic control and switching

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

Related Items

Continuous dependence estimates and homogenization of quasi-monotone systems of fully nonlinear second order parabolic equations, Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions, Uniqueness for integro-PDE in Hilbert spaces

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