The viability property of controlled jump diffusion processes |
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| Authors: | Shi Ge Peng Xue Hong Zhu |
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| Affiliation: | (1) Institute of Mathematics, Shandong University, Ji’nan, 250100, P. R. China;(2) School of Science, Nanjing University of Aeronautics and Astronautics, Nanjing, 210016, P. R. China |
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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. 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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| Keywords: | viability integrodifferential equation viscosity solution |
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