1. A note on strochastic optimal control of reflected diffusions with jumps.
- Author
-
Ding Deng
- Subjects
- *
POISSON algebras , *HAMILTON-Jacobi equations , *VON Neumann algebras , *STOCHASTIC analysis , *VISCOSITY , *PROBABILITY theory - Abstract
Stochastic optimal control problems for a class of reflected diffusion with Poisson jumps in a half-space are considered. The nonlinear Nisio's semigroup 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. [ABSTRACT FROM AUTHOR]
- Published
- 2000
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