arXiv subjects

V. Kolokoltsov

Publications and source records attributed to V. Kolokoltsov.

2 recordsLinked to original sources

arXiv2014

Well-posedness and regularity of the Cauchy problem for nonlinear fractional in time and space equations

The purpose is to study the Cauchy problem for non-linear in time and space pseudo-differential equations. These include the fractional in time versions of HJB equations governing the controlled scaled CTRW. As a preliminary step which is of independent interest we analyse the corresponding linear equation proving its well-posedness and smoothing properties.

math.AP↗

arXiv2012

Controlled Continuous Time Random Walks and fractional Hamilton Jacobi Bellman equations

In this paper we study controlled continuous time random walks (CTRWs) and heuristically derive pay-off function dynamic programming (DP) equations which turn in the limit of standard scaling to fractional Hamilton Jacobi Bellman type equations. This paper aims to extend results from [1] in a controlled setting.

math.OC↗