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

Harold A. Moreno-Franco

doi:10.1007/s00245-016-9397-6

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arXiv · 1605.04993

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

Harold A. Moreno-Franco

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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.

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BibTeX RIS

Harold A. Moreno-Franco. 2016-05-17. Solution to HJB equations with an elliptic integro-differential operator and gradient constraint. https://doi.org/10.1007/s00245-016-9397-6

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