Solution to HJB equations with an elliptic integro-differential operator and gradient constraint

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 Lévy process.

References in corpus (3)

• On the optimal dividend problem for a spectrally negative Lévy process
• On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
• Solution to HJB equations with an elliptic integro-differential operator and gradient constraint

Cited by in corpus (2)

• Solution to HJB equations with an elliptic integro-differential operator and gradient constraint
• HJB equations with gradient constraint associated with controlled jump-diffusion processes