DING Deng. A Note on Stochastic Optimal Control of Reflected Diffusions With Jumps[J]. Applied Mathematics and Mechanics, 2000, 21(9): 973-983.
Citation: DING Deng. A Note on Stochastic Optimal Control of Reflected Diffusions With Jumps[J]. Applied Mathematics and Mechanics, 2000, 21(9): 973-983.

A Note on Stochastic Optimal Control of Reflected Diffusions With Jumps

  • Received Date: 1999-04-06
  • Rev Recd Date: 2000-04-16
  • Publish Date: 2000-09-15
  • Stochastic optimal control problems for a class of reflected diffusion with Poisson jumps in a half-space are considered.The nonlinear Nisio.s semigro up for such optimal control problems was constructed.A Hamilton-Jaco bi-Bellman equation with the Ne umann boundary condition associated with this semigroup was o btained.Then,visco sity solutions of this equation were defined and discussed,and various uniqueness of this equation was also considered.Finally,the value function in such optimal control problems is shown to be a viscosity solution of this equation.
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