Abstract
We prove a stochastic representation formula for the viscosity solution of Dirichlet terminal-boundary value problem for a degenerate Hamilton-Jacobi-Bellman integro-partial differential equation in a bounded domain. We show that the unique viscosity solution is the value function of the associated stochastic optimal control problem. We also obtain the dynamic programming principle for the associated stochastic optimal control problem in a bounded domain.
| Original language | English |
|---|---|
| Pages (from-to) | 3271-3310 |
| Journal | Annals of Applied Probability |
| Volume | 29 |
| Issue number | 6 |
| DOIs | |
| Publication status | Published - Dec 2019 |
| Externally published | Yes |
Research Keywords
- Dynamic programming principle
- Hamilton-Jacobi-Bellman equation
- Integro-PDE
- Lévy process
- Stochastic representation formula
- Value function
- Viscosity solution
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