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.
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
1.
Department of Mathematics, Zhongshan University, Guangzhou 510725, P R China;
2.
Faculty of Science and Technology, University of Macau, P O Box 3001. Macau, P R China
Received Date: 1999-04-06Rev Recd Date:
2000-04-16
Publish Date:
2000-09-15
Abstract
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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