Viscosity solutions to Hamilton-Jacobi-Bellman equations associated with sublinear L\'evy(-type) processes

zbMath1419.82045arXiv1808.02332MaRDI QIDQ5742619

Franziska Kühn

Publication date: 15 May 2019

Full work available at URL: https://arxiv.org/abs/1808.02332

zbMATH Keywords

Hamilton-Jacobi-Bellman equationLévy processrandom environmentsrandom dynamicsKolmogorov backward equationsublinear Markov semigroup

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Markov semigroups and applications to diffusion processes (47D07) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Dynamics of disordered systems (random Ising systems, etc.) in time-dependent statistical mechanics (82C44) Hamilton-Jacobi equations (35F21) PDEs in connection with statistical mechanics (35Q82)

Related Items (12)

Convex monotone semigroups on lattices of continuous functions ⋮ Nonlinear semigroups built on generating families and their Lipschitz sets ⋮ Non-linear affine processes with jumps ⋮ Nonlinear continuous semimartingales ⋮ Wasserstein perturbations of Markovian transition semigroups ⋮ Maximal inequalities and some applications ⋮ A generalized stochastic process: fractional \(G\)-Brownian motion ⋮ A universal robust limit theorem for nonlinear Lévy processes under sublinear expectation ⋮ On infinitesimal generators of sublinear Markov semigroups ⋮ Convex semigroups on \(L^p\)-like spaces ⋮ Limits of random walks with distributionally robust transition probabilities ⋮ Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems

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