arXiv:1605.04993 Abstract | arXiv Analytics

arXiv:1605.04993 [math.OC]Abstract References Reviews Resources

Solution to HJB equations with an elliptic integro-differential operator and gradient constraint

Published 2016-05-17Version 1

The main goal of this paper is to establish existence, regularity and uniqueness results for the solution of a Hamilton-Jacobi-Bellman (HJB) equation, whose operator is an elliptic integro-differential operator. The HJB equation studied in this work arises in singular stochastic control problems where the state process is a controlled $d$-dimensional L\'evy process.

Categories: math.OC

Subjects: 49L99, 45K05, 93E20

Keywords: elliptic integro-differential operator, hjb equation, gradient constraint, singular stochastic control problems, dimensional levy process

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