Solution to HJB equations with an elliptic integro-differential operator and gradient constraint
Optimization and Control
2016-12-01 v3
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 -dimensional L\'evy process.
Keywords
Cite
@article{arxiv.1605.04993,
title = {Solution to HJB equations with an elliptic integro-differential operator and gradient constraint},
author = {Harold A. Moreno-Franco},
journal= {arXiv preprint arXiv:1605.04993},
year = {2016}
}