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A Strict Comparison Principle for Integro-Differential Hamilton-Jacobi-Bellman Equations on Domains with Boundary

2025/12/03 by Della Corte, Serena, Fuchs, Fabian, Kraaij, Richard C. +1
#35K61 #45K05 #49L25 #49Q22 #Analysis of PDEs (math.AP) #FOS: Mathematics #Primary 35D40 #Probability (math.PR) #Secondary 35J66

paper · doi:10.48550/arxiv.2512.04005

Abstract

This work provides a comparison principle for viscosity solutions to boundary value problems on (partially) bounded, cylindrical spaces. The comparison principle is based on a test function framework, that allows for the simultaneous treatment of diffusive as well as jump terms. Estimates in the proof of the comparison principle incorporate the use of Lyapunov functions that act as growth bounds for the solutions, effectively yielding a theory for unbounded viscosity solutions. We apply the results to a wide class of parabolic equations and elliptic problems on a space with corners.

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