Stochastic recursive optimal control problem with obstacle constraint involving diffusion type control

DOI10.1186/S13662-020-02844-1zbMATH Open1485.93642OpenAlexW3045185204MaRDI QIDQ2114262FDOQ2114262

Authors: Zhenda Xu 

Publication date: 15 March 2022

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-020-02844-1

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zbMATH Keywords

recursive utilityoptimal control problemreflected backward stochastic differential equationsufficient conditiondiffusion type control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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