Exit problem as the generalized solution of Dirichlet problem
Probability
2019-01-08 v2 Analysis of PDEs
Optimization and Control
Mathematical Finance
Abstract
This paper investigates sufficient conditions for a Feynman-Kac functional up to an exit time to be the generalized viscosity solution of a Dirichlet problem. The key ingredient is to find out the continuity of exit operator under Skorokhod topology, which reveals the intrinsic connection between overfitting Dirichlet boundary and fine topology. As an application, we establish the sub and supersolutions for a class of non-stationary HJB (Hamilton-Jacobi-Bellman) equations with fractional Laplacian operator via Feynman-Kac functionals associated to -stable processes, which help verify the solvability of the original HJB equation.
Keywords
Cite
@article{arxiv.1806.09302,
title = {Exit problem as the generalized solution of Dirichlet problem},
author = {Yuecai Han and Qingshuo Song and Gu Wang},
journal= {arXiv preprint arXiv:1806.09302},
year = {2019}
}
Comments
23 pages