A remark on the definitions of viscosity solutions for the integro-differential equations with Lévy operators

DOI10.1016/J.MATPUR.2008.02.005MaRDI QIDQ930282zbMATHOpenAlexFDO

Authors Mariko Arisawa

Publication date 24 June 2008

Published in Journal de Mathématiques Pures et Appliquées. Neuvième Série (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1012.3094

zbMATH Keywords

viscosity solutionintegro-differential equationLévy operator

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Other nonlinear integral equations (45G10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Abstract: The equivalence of three different definitions of viscosity solutions for the integro-differential equation with the L{'e}vy operator is shown in this paper. The key is Lemma 2.1, in which we construct a sequence of the approximating test functions.

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Cites work

• scientific article; zbMATH DE number 1097322 (Why is no real title available?)
• scientific article; zbMATH DE number 3806227 (Why is no real title available?)
• A ``maximum principle for semicontinuous functions applicable to integro-partial differential equations
• A new definition of viscosity solutions for a class of second-order degenerate elliptic integro-differential equations
• Applied stochastic control of jump diffusions.
• Backward stochastic differential equations and integral-partial differential equations
• Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
• User’s guide to viscosity solutions of second order partial differential equations

Cited in

(11)

• Consumption-investment problem with transaction costs for Lévy-driven price processes
• Viscosity solutions to Hamilton-Jacobi-Bellman equations associated with sublinear Lévy(-type) processes
• Comparison principles for nonlocal Hamilton-Jacobi equations
• Extension and decomposition method for differential and integro-differential equations
• A new definition of viscosity solutions for a class of second-order degenerate elliptic integro-differential equations
• Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels
• A spectral dominance approach to large random matrices
• On existence and uniqueness of viscosity solutions for second order fully nonlinear PDEs with Caputo time fractional derivatives
• Homogenization of a Class of Integro-Differential Equations with Lévy Operators
• Optimal stopping problem associated with jump-diffusion processes
• Coupling Lévy measures and comparison principles for viscosity solutions

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