UM
A note on stochastic optimal control of reflected diffusions with jumps
Ding D.2
2000-12-01
Source PublicationApplied Mathematics and Mechanics (English Edition)
ISSN02534827
Volume21Issue:9Pages:1079-1090
AbstractStochastic optimal control problems for a class of reflected diffusion with Poisson jumps in a half-space are considered. The nonlinear Nisio' s semipro for such optimal control problems was constructed. A Hamilton-Jacobi-Bellman equation with the Neumann boundary condition associated with this semigroup was obtained. Then, viscosity solutions of this equation were defined and discussed, and various uniqueness of this equation was also considered. Finally, the value function was such optimal control problems is shown to be a viscosity solution of this equation.
KeywordHamilton-Jacobi-Bellman equation Reflected diffusion with jumps Stochastic optimal control Viscosity solution
URLView the original
Language英語
Fulltext Access
Document TypeJournal article
CollectionUniversity of Macau
Affiliation1.Universidade de Macau
2.Sun Yat-Sen University
Recommended Citation
GB/T 7714
Ding D.. A note on stochastic optimal control of reflected diffusions with jumps[J]. Applied Mathematics and Mechanics (English Edition),2000,21(9):1079-1090.
APA Ding D..(2000).A note on stochastic optimal control of reflected diffusions with jumps.Applied Mathematics and Mechanics (English Edition),21(9),1079-1090.
MLA Ding D.."A note on stochastic optimal control of reflected diffusions with jumps".Applied Mathematics and Mechanics (English Edition) 21.9(2000):1079-1090.
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