Piecewise-Deterministic Processes and Viscosity Solutions

@inproceedings{Davis1999PiecewiseDeterministicPA,
  title={Piecewise-Deterministic Processes and Viscosity Solutions},
  author={M. H. A. Davis and Mohammad Farid},
  year={1999}
}
  • M. H. A. Davis, Mohammad Farid
  • Published 1999
  • Mathematics
  • This article concerns the optimal control of piecewise deterministic processes in the viscosity solutions context. Boundary conditions given in Vermes (1985) are weakened and replaced by boundary conditions in exit-time optimal control problems as given in Barles (1994). It is proved that the value function of piecewise-deterministic process optimal control is the unique viscosity solution of its associated Hamilton-Jacobi-Bellman equation. 

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