Stochastic optimal control problems for a class of reflected diffusion with Poisson jumps in a half-space are considered. The nonlinear Nisio' s semigroup for such optimal control problems was constructed. A Hamil...Stochastic optimal control problems for a class of reflected diffusion with Poisson jumps in a half-space are considered. The nonlinear Nisio' s semigroup for such optimal control problems was constructed. A Hamilton-Jacobi-Bellman equation with the Neumann boundary condition associated with this semigroup was obtained. Then, viscosity solutions of this equation were defined and discussed, and various uniqueness of this equation was also considered. Finally, the value function was such optimal control problems is shown to be a viscosity solution of this equation.展开更多
Solutions of quasilinear mixed boundary problems for the some parabolic an elliptic partial differential equations are interpreted as solutions of a kind of backward stochastic differential equations, which are associ...Solutions of quasilinear mixed boundary problems for the some parabolic an elliptic partial differential equations are interpreted as solutions of a kind of backward stochastic differential equations, which are associated with the classical Ito forward stochastic differential equations with reflecting boundary conditions.展开更多
基金The research was partially supported by the research grant 050/2005/A from FDCT of Macao,the research grant RG067/04-05S/SHW/FST from University of Macao.
基金the National Natural Science Foundation of China(52102111)the Natural Science Foundation of Hubei Province(No.2021CFB218)the Unveils List System Science and Technology Project of Hubei Provincial Science and Technology Department(No.2021BEC016)。
文摘Stochastic optimal control problems for a class of reflected diffusion with Poisson jumps in a half-space are considered. The nonlinear Nisio' s semigroup for such optimal control problems was constructed. A Hamilton-Jacobi-Bellman equation with the Neumann boundary condition associated with this semigroup was obtained. Then, viscosity solutions of this equation were defined and discussed, and various uniqueness of this equation was also considered. Finally, the value function was such optimal control problems is shown to be a viscosity solution of this equation.
文摘Solutions of quasilinear mixed boundary problems for the some parabolic an elliptic partial differential equations are interpreted as solutions of a kind of backward stochastic differential equations, which are associated with the classical Ito forward stochastic differential equations with reflecting boundary conditions.
