A note on stochastic optimal control of reflected diffusions with jumps

DOI10.1007/BF02459319zbMath0970.93039OpenAlexW1978344635MaRDI QIDQ1841463

Deng Ding

Publication date: 2 May 2001

Published in: Applied Mathematics and Mechanics. (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02459319

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic optimal controlvalue functionviscosity solutionsPoisson jumpsreflected diffusionsnonlinear Nisio's semigroup

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Cites Work

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• Reflexion discontinue et systèmes stochastiques
• An Ergodic Control Problem for Reflected Diffusion with Jump
• Optimal Control of Stochastic Integrals and Hamilton–Jacobi–Bellman Equations. I