{
  "id": "1605.04993",
  "version": "v1",
  "published": "2016-05-17T01:17:44.000Z",
  "updated": "2016-05-17T01:17:44.000Z",
  "title": "Solution to HJB equations with an elliptic integro-differential operator and gradient constraint",
  "authors": [
    "Harold A. Moreno-Franco"
  ],
  "categories": [
    "math.OC"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2016-05-17T01:17:44.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "49L99",
      "45K05",
      "93E20"
    ],
    "keywords": [
      "elliptic integro-differential operator",
      "hjb equation",
      "gradient constraint",
      "singular stochastic control problems",
      "dimensional levy process"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}