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Solution to HJB equations with an elliptic integro-differential operator and gradient constraint (1605.04993v3)
Published 17 May 2016 in math.OC
Abstract: 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\'evy process.
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