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HJB Equations with Gradient Constraint Associated with Controlled Jump-Diffusion Processes

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Abstract:

In this paper, we guarantee the existence and uniqueness (in the almost everywhere sense) of the solution to a Hamilton--Jacobi--Bellman (HJB) equation with gradient constraint and a partial integro-differential operator whose Lévy measure has bounded variation. This type of equation arises in a singular control problem, where the state process is a multidimensional jump-diffusion with jumps of finite variation and infinite activity. We verify, by means of $\varepsilon$-penalized controls, that the value function associated with this problem satisfies the aforementioned HJB equation.

Tópico:

Stochastic processes and financial applications

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Citations: 5
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Información de la Fuente:

SCImago Journal & Country Rank
FuenteSIAM Journal on Control and Optimization
Cuartil año de publicaciónNo disponible
Volumen57
Issue3
Páginas2185 - 2213
pISSNNo disponible
ISSN0363-0129

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