Stochastic Representations for Solutions to Nonlocal Bellman Equations

PDE Seminar
Tuesday, September 19, 2017 - 15:05
1 hour (actually 50 minutes)
Skiles 006
The talk is about 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. This is a joint work with R. Gong and A. Swiech.