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The viability property of controlled jump diffusion processes

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Abstract

In this paper, we first give a comparison theorem of viscosity solution to some nonlinear second order integrodifferential equation. And then using the comparison theorem, we obtain a necessary and sufficient condition for the viability property of some controlled jump diffusion processes which can keep the solution within a constraint K.

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Authors and Affiliations

  1. Institute of Mathematics, Shandong University, Ji’nan, 250100, P. R. China

    Shi Ge Peng & Xue Hong Zhu

  2. School of Science, Nanjing University of Aeronautics and Astronautics, Nanjing, 210016, P. R. China

    Xue Hong Zhu

Authors
  1. Shi Ge Peng
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  2. Xue Hong Zhu
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Correspondence to Xue Hong Zhu.

Additional information

The author thanks the partial support from the National Basic Research Program of China (973 Program) Grant No. 2007CB814900 (Financial Risk)

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Peng, S.G., Zhu, X.H. The viability property of controlled jump diffusion processes. Acta. Math. Sin.-English Ser. 24, 1351–1368 (2008). https://doi.org/10.1007/s10114-008-4528-x

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  • DOI: https://doi.org/10.1007/s10114-008-4528-x

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