Upper Envelopes of Families of Feller Semigroups and Viscosity Solutions to a Class of Nonlinear Cauchy Problems

Abstract

In this paper, we consider the (upper) semigroup envelope, i.e., the least upper bound, of a given family of linear Feller semigroups. We explicitly construct the semigroup envelope and show that, under suitable assumptions, it yields viscosity solutions to abstract HJB-type PDEs related to stochastic optimal control problems arising in the field of robust finance. We further derive conditions for the existence of a Markov process under a nonlinear expectation related to the semigroup envelope for the case where the state space is locally compact. The procedure is then applied to numerous examples, in particular, nonlinear PDEs that arise from control problems for infinite-dimensional Ornstein--Uhlenbeck and Lévy processes.

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