Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
840145 | Nonlinear Analysis: Theory, Methods & Applications | 2013 | 22 Pages |
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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Authors
Jiagang Ren, Jing Wu,