| A note on stochastic optimal control of reflected diffusions with jumps | |
| Ding D.2 | |
| 2000-12-01 | |
| Source Publication | Applied Mathematics and Mechanics (English Edition)
 |
| ISSN | 02534827 |
| Volume | 21Issue:9Pages:1079-1090 |
| Abstract | Stochastic 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. |
| Keyword | Hamilton-Jacobi-Bellman equation Reflected diffusion with jumps Stochastic optimal control Viscosity solution |
| URL | View the original |
| Language | 英語 |
| Fulltext Access | |
| Document Type | Journal article |
| Collection | University of Macau |
| Affiliation | 1.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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