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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
control theory - Difference between Bellman and Pontryagin dynamic . . . The HJB equations are a lot more complex, and generally intractable without turning to concepts like generalized solution sets - viscosity solutions for example - but they are far more general, powerful and hold a lot more information (remember they put a man on the moon)
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 ?