Exit Problems as the Generalized Solutions of Dirichlet Problems
DOI10.1137/18M119656XzbMath1420.60091arXiv1806.09302OpenAlexW2958666205WikidataQ127586444 ScholiaQ127586444MaRDI QIDQ5232228
Yuecai Han, Qingshuo Song, Gu Wang
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/1806.09302
fine topologyHJB equationstochastic control problemfractional Laplacian operatorDirichlet boundarygeneralized viscosity solutiona-stable process
Nonlinear elliptic equations (35J60) 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) Integro-differential operators (47G20) Nonlinear boundary value problems for nonlinear elliptic equations (35J66)
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