Integro-PDE in Hilbert spaces: existence of viscosity solutions

DOI10.1007/s11118-016-9563-0zbMath1352.49025OpenAlexW2462293311MaRDI QIDQ345036

Andrzej Świȩch, Zabczyk, Jerzy

Publication date: 25 November 2016

Published in: Potential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11118-016-9563-0

zbMATH Keywords

Hamilton-Jacobi-Bellman equationLévy processviscosity solutionsmathematical financeintegro-PDEdynamic programming principlestochastic PDE

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Dynamic programming in optimal control and differential games (49L20) Nonlinear initial, boundary and initial-boundary value problems for linear parabolic equations (35K60) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Existence of optimal solutions to problems involving randomness (49J55) Viscosity solutions to PDEs (35D40) Integro-partial differential equations (35R09)

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