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

DOI10.1186/S13662-020-02844-1MaRDI QIDQ2114262zbMATH OpenOpenAlexFDO

Authors Zhenda Xu

Publication date 15 March 2022

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

Copyright license Creative Commons Attribution 4.0 International

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

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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Cites work

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Cited in

(1)

• Stochastic recursive optimal control problem of reflected stochastic differential systems

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