Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton–Jacobi–Bellman Equation

DOI10.1137/060671917zbMath1171.49022arXiv0704.3775OpenAlexW2003293420MaRDI QIDQ3399259

Zhen Wu, Zhi-Yong Yu

Publication date: 29 September 2009

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0704.3775

zbMATH Keywords

Hamilton-Jacobi-Bellman equationviscosity solutionreflected backward stochastic differential equationdynamic programming principlerecursive optimal control problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Initial value problems for second-order parabolic equations (35K15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (26)

Multi-valued backward stochastic differential equations with regime switching ⋮ Dynamic programming principle and associated Hamilton-Jacobi-Bellman equation for stochastic recursive control problem with non-Lipschitz aggregator ⋮ Necessary and sufficient conditions for stochastic differential systems with multi-time state cost functional ⋮ A sufficient stochastic maximum principle for a kind of recursive optimal control problem with obstacle constraint ⋮ Near-maximum principle for general recursive utility optimal control problem ⋮ A BSDE approach to stochastic differential games involving impulse controls and HJBI equation ⋮ Connection between MP and DPP for Stochastic Recursive Optimal Control Problems: Viscosity Solution Framework in the General Case ⋮ Maximum principle for forward–backward SDEs with a general cost functional ⋮ Sobolev space weak solutions to one kind of quasilinear parabolic partial differential equations related to forward-backward stochastic differential equations ⋮ Stochastic differential games with reflection and related obstacle problems for Isaacs equations ⋮ Dynamic programming principle and viscosity solutions of Hamilton-Jacobi-Bellman equations for stochastic recursive control problem with non-Lipschitz generator ⋮ Stochastic verification theorem of forward-backward controlled systems for viscosity solutions ⋮ Stochastic recursive optimal control problem of reflected stochastic differential systems ⋮ Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality ⋮ A stochastic recursive optimal control problem under the G-expectation framework ⋮ Backward stochastic differential equations with Markov chains and associated PDEs ⋮ Retracted: ``Multidimensional viscosity solution theory of semi-linear partial differential equations ⋮ Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions ⋮ Reflected mean-field backward stochastic differential equations. Approximation and associated nonlinear PDEs ⋮ Stochastic optimal control problem with obstacle constraints in sublinear expectation framework ⋮ Optimal reinsurance-investment and dividends problem with fixed transaction costs ⋮ Necessary condition for near optimal control of linear forward–backward stochastic differential equations ⋮ Probabilistic interpretation for a system of quasilinear parabolic partial differential equation combined with algebra equations ⋮ Sobolev weak solutions for parabolic PDEs and FBSDEs ⋮ Path‐dependent Hamilton–Jacobi–Bellman equations related to controlled stochastic functional differential systems ⋮ The maximum principle for stochastic differential systems with general cost functional

This page was built for publication: Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton–Jacobi–Bellman Equation