Path-dependent optimal stochastic control and viscosity solution of associated Bellman equations

DOI10.3934/DCDS.2015.35.5521zbMATH Open1332.93384arXiv1210.2078OpenAlexW2963534593MaRDI QIDQ255513FDOQ255513

Shanjian Tang, Fu Zhang

Publication date: 9 March 2016

Published in: Discrete and Continuous Dynamical Systems (Search for Journal in Brave)

Abstract: In this paper we study the optimal stochastic control problem for a path-dependent stochastic system under a recursive path-dependent cost functional, whose associated Bellman equation from dynamic programming principle is a path-dependent fully nonlinear partial differential equation of second order. A novel notion of viscosity solutions is introduced. Using Dupire's functional It^o calculus, we characterize the value functional of the optimal stochastic control problem as the unique viscosity solution to the associated path-dependent Bellman equation.

Full work available at URL: https://arxiv.org/abs/1210.2078

zbMATH Keywords

dynamic programmingbackward SDEpath-dependent Bellman equationpath-dependent optimal stochastic controlviscosity solution

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)

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Cited In (23)

• A deep learning approach to the probabilistic numerical solution of path-dependent partial differential equations
• Nonlinear continuous semimartingales
• Viscosity solutions to second order path-dependent Hamilton-Jacobi-Bellman equations and applications
• Probabilistic criterion-based optimal retention of trajectories of a discrete-time stochastic system in a given tube: bilateral estimation of the Bellman function
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• Path-dependent equations and viscosity solutions in infinite dimension
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• Future Expectations Modeling, Random Coefficient Forward–Backward Stochastic Differential Equations, and Stochastic Viscosity Solutions
• Delay optimal control and viscosity solutions to associated Hamilton–Jacobi–Bellman equations
• Strong-viscosity solutions: classical and path-dependent PDEs

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