An analytic approach to purely nonlocal Bellman equations arising in models of stochastic control

DOI10.1016/j.jde.2006.12.013zbMath1119.47048OpenAlexW2057140451MaRDI QIDQ879373

Helmut Abels, Moritz Kassmann

Publication date: 11 May 2007

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jde.2006.12.013

zbMATH Keywords

Bellman equationstochastic controlMarkov jump processintegro-differential operatorfully nonlinear equation

Mathematics Subject Classification ID

Nonlinear elliptic equations (35J60) Optimal stochastic control (93E20) Integro-differential operators (47G20)

Related Items

Maximum principles and the method of moving planes for the uniformly elliptic nonlocal Bellman operator and applications ⋮ Monotonicity of solutions for a class of uniformly elliptic nonlocal Bellman systems ⋮ Uniqueness for integro-PDE in Hilbert spaces ⋮ The Evans-Krylov theorem for nonlocal fully nonlinear equations ⋮ The discontinuous Galerkin method for fractional degenerate convection-diffusion equations ⋮ A priori estimates for integro-differential operators with measurable kernels ⋮ Monotonicity of solutions for the uniformly elliptic nonlocal Bellman equation on the upper half space ⋮ The Evans-Krylov theorem for nonlocal parabolic fully nonlinear equations ⋮ Maximum principles and Liouville results for uniformly elliptic nonlocal Bellman system ⋮ Cahn-Hilliard equation with nonlocal singular free energies

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