HJB Equations with Gradient Constraint Associated with Controlled Jump-Diffusion Processes

DOI10.1137/17M1133671zbMath1420.49032arXiv1701.07291OpenAlexW2796206613MaRDI QIDQ5232220

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Publication date: 30 August 2019

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.07291

zbMATH Keywords

HJB equationsingular stochastic control problemelliptic integro-differential operatornonlinear partial integro-differential Dirichlet problem

Mathematics Subject Classification ID

Integro-partial differential equations (45K05) Optimal stochastic control (93E20) Hamilton-Jacobi theories (49L99)

Related Items (3)

On a mixed singular/switching control problem with multiple regimes ⋮ A mixed singular/switching control problem with terminal cost for modulated diffusion processes ⋮ Finite horizon optimal dividend and reinsurance problem driven by a jump-diffusion process with controlled jumps

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