Stochastic representations for solutions to parabolic Dirichlet problems for nonlocal Bellman equations
DOI10.1214/19-AAP1473zbMath1469.35212arXiv1709.00193OpenAlexW3000033582MaRDI QIDQ2299580
Chenchen Mou, Ruoting Gong, Andrzej Świȩch
Publication date: 21 February 2020
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1709.00193
Hamilton-Jacobi-Bellman equationviscosity solutionLévy processvalue functionintegro-PDEdynamic programming principlestochastic representation formula
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Degenerate parabolic equations (35K65) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Nonlinear initial, boundary and initial-boundary value problems for nonlinear parabolic equations (35K61) Integro-partial differential equations (35R09)
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