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arXiv 1906.04430math.APmath.OCmath.PR
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Feller半群族的上包络与一类非线性Cauchy问题的黏性解

Upper envelopes of families of Feller semigroups and viscosity solutions to a class of nonlinear Cauchy problems

Max Nendel, Michael Röckner

摘要:

本文考虑了给定的线性Feller半群族的(上)半群包络,即上确界.我们明确地构造半群包络,并表明,在适当的假设下,它产生黏性解抽象的Hamilton-Jacobi-Bellman型偏微分方程相关的随机最优控制问题中出现的鲁棒金融领域。在状态空间是局部紧的情况下,我们进一步得到了在与半群包络有关的非线性期望下马尔可夫过程存在的条件。然后,该程序被应用到许多例子中,特别是,非线性偏微分方程所产生的控制问题的无限维奥恩斯坦-乌伦贝克和Lévy过程。

英文摘要:

In this paper, we consider the (upper) semigroup envelope, i.e. the least upper bound, of a given family of linear Feller semigroups. We explicitly construct the semigroup envelope and show that, under suitable assumptions, it yields viscosity solutions to abstract Hamilton-Jacobi-Bellman-type partial differential equations related to stochastic optimal control problems arising in the field of Robust Finance. We further derive conditions for the existence of a Markov process under a nonlinear expectation related to the semigroup envelope for the case where the state space is locally compact. The procedure is then applied to numerous examples, in particular, nonlinear PDEs that arise from control problems for infinite dimensional Ornstein-Uhlenbeck and Lévy processes.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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