Solution to HJB Equations with an Elliptic Integro-Differential Operator and Gradient Constraint

被引：2

作者：

Moreno-Franco, Harold A. ^{[1
]}

机构：

[1] Natl Res Univ Higher Sch Econ, Shabolovka 31,Bldg G, Moscow 115162, Russia

来源：

APPLIED MATHEMATICS AND OPTIMIZATION | 2018年 / 78卷 / 01期

关键词：

HJB equation; NIDD problem; Integro differential operator; Stochastic control problem; Levy process; DIVIDEND PROBLEM; IMPULSE CONTROL; RISK; REGULARITY; POLICIES; MODELS;

D O I：

10.1007/s00245-016-9397-6

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

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,vy process.

引用

页码：25 / 60

页数：36

共 41 条

[1]

[Anonymous], 1999, CAMBRIDGE STUD ADV M

[2]

[Anonymous], 1998, CLASSICS MATH

[3]

[Anonymous], 2003, SOBOLEV SPACES

[4]

[Anonymous], 1970, SINGULAR INTEGRALS D

[5]

[Anonymous], 2014, INTRO LECT

[6]

[Anonymous], METHODES MATH INFORM

[7]

[Anonymous], 2006, CONTROLLED MARKOV PR

[8]

[Anonymous], 1984, RICERCHE MAT

[9] Controlled diffusion models for optimal dividend pay-out [J].

Asmussen, S ;

Taksar, M .

INSURANCE MATHEMATICS & ECONOMICS, 1997, 20 (01) :1-15

[10]

Asmussen S.R., 2000, Financ. Stoch, V4, P299, DOI [10.1007/s007800050075, DOI 10.1007/S007800050075]

← 1 2 3 4 5 →