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Hamilton-Jacobi-Bellman equation for Levy processes However I don't understand how the last term in the HJB equation is connected to the last term in (2) Especially the ν ν is confusing me ν ν is the Levy measure i guess So ν(A) ν (A) for A ∈ E A ∈ E gives me how many Jumps of Size a ∈ A a ∈ A is expected in one time intervall Am I right ?
Solving Hamilton-Jacobi-Bellman equations numerically? I've been told that HJB equations can be solved numerically I know very little about the subject, could someone provide a couple of comments or a reference (ideally, one that is accessible for a l
Mean Field Games Solving the Couple HJB system The mean field game for a given minimization problem leads to a coupled system of HJB and Fokker-Planck equations The HJB is forward in time, where as the FPK equations are backwards How does one