화학공학소재연구정보센터
Applied Mathematics and Optimization, Vol.78, No.1, 25-60, 2018
Solution to HJB Equations with an Elliptic Integro-Differential Operator and Gradient Constraint
The main goal of this paper is to establish existence, regularity and uniqueness results for the solution of a Hamilton-Jacobi-Bellman (HJB) equation, whose operator is an elliptic integro-differential operator. The HJB equation studied in this work arises in singular stochastic control problems where the state process is a controlled d-dimensional L,vy process.