A weak dynamic programming principle for combined optimal stopping/stochastic control with E^f-expectations

DOI10.1137/15M1027012MaRDI QIDQ2818213zbMATH OpenFDO

Authors Roxana Dumitrescu, Marie-Claire Quenez, Agnès Sulem

Publication date 6 September 2016

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

Full work available at URL https://arxiv.org/abs/1407.0416

zbMATH Keywords

\({\mathcal E}^f\)-expectationbackward stochastic differential equationHamilton-Jacobi-Bellman variational inequalityMarkovian stochastic controlmixed optimal control/stoppingnonlinear expectationviscosity solutionweak dynamic programming principle

Mathematics Subject Classification ID

Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10) Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Diffusion processes (60J60) Optimal stochastic control (93E20)

Abstract: We study a combined optimal control/stopping problem under a nonlinear expectation ${calE}^f$ induced by a BSDE with jumps, in a Markovian framework. The terminal reward function is only supposed to be Borelian. The value function $u$ associated with this problem is generally irregular. We first establish a {em sub- (resp. super-) optimality principle of dynamic programming} involving its {em upper- (resp. lower-) semicontinuous envelope} $u^{\ast }$ (resp. $u_{\ast }$). This result, called {em weak} dynamic programming principle (DPP), extends that obtained in cite{BT} in the case of a classical expectation to the case of an ${calE}^f$-expectation and Borelian terminal reward function. Using this {em weak} DPP, we then prove that $u^{\ast }$ (resp. $u_{\ast }$) is a {em viscosity sub- (resp. super-) solution} of a nonlinear Hamilton-Jacobi-Bellman variational inequality.

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Cited in

(14)

• Stochastic control for a class of nonlinear kernels and applications
• A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities
• Approximation schemes for mixed optimal stopping and control problems with nonlinear expectations and jumps
• Optimal investment decision under switching regimes of subsidy support
• Dynamic programming principle for classical and singular stochastic control with discretionary stopping
• Mixed generalized Dynkin game and stochastic control in a Markovian framework
• Weak dynamic programming principle for viscosity solutions
• Game options in an imperfect market with default
• Stochastic Dynamic Programming and Control of Markov Processes
• On a switching control problem with càdlàg costs
• A new Mertens decomposition of \(\mathscr{Y}^{g , \xi} \)-submartingale systems. Application to BSDEs with weak constraints at stopping times
• Dynamic programming approach to reflected backward stochastic differential equations
• Recursive optimal stopping with Poisson stopping constraints
• Optimal stopping for dynamic risk measures with jumps and obstacle problems

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