Controlled reflected SDEs and Neumann problem for backward SPDEs

DOI10.1214/19-AAP1465MaRDI QIDQ2286452zbMATH OpenOpenAlexFDO

Authors Erhan Bayraktar, Jinniao Qiu

Publication date 22 January 2020

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1706.06284

zbMATH Keywords

backward stochastic partial differential equationNeumann problemoptimal control of reflected stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Financial applications of other theories (91G80)

Abstract: We solve the optimal control problem of a one-dimensional reflected stochastic differential equation, whose coefficients can be path dependent. The value function of this problem is characterized by a backward stochastic partial differential equation (BSPDE) with Neumann boundary conditions. We prove the existence and uniqueness of sufficiently regular solution for this BSPDE, which is then used to construct the optimal feedback control. In fact we prove a more general result: The existence and uniqueness of strong solution for the Neumann problem for general nonlinear BSPDEs, which might be of interest even out of the current context.

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Cited in

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