Article ID Journal Published Year Pages File Type
840145 Nonlinear Analysis: Theory, Methods & Applications 2013 22 Pages PDF
Abstract

This work concerns the optimal control problem associated with multi-valued stochastic differential equations with Lévy jumps. Through the Yosida approximation technique, we prove that the value function of the control problem is the unique viscosity solution of a second order parabolic integro-differential equation involving a multi-valued maximal monotone operator. The dynamic programming principle and the comparison theorem are also proved.

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