Optimal stochastic control with recursive cost functionals of stochastic differential systems reflected in a domain

DOI10.1051/cocv/2014062zbMath1341.49020arXiv1202.1412MaRDI QIDQ2949592

Juan Li, Shanjian Tang

Publication date: 2 October 2015

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.1412

zbMATH Keywords

Hamilton-Jacobi-Bellman equation; viscosity solution; backward stochastic differential equations; value function; optimal stochastic control; dynamic programming principle; nonlinear Neumann boundary

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

49L20: Dynamic programming in optimal control and differential games

90C39: Dynamic programming

35J60: Nonlinear elliptic equations

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games

49J55: Existence of optimal solutions to problems involving randomness

Related Items

Generalized mean-field backward stochastic differential equations and related partial differential equations, Stochastic recursive optimal control problem of reflected stochastic differential systems, System of nonlinear second-order parabolic partial differential equations with interconnected obstacles and oblique derivative boundary conditions on non-smooth time-dependent domains, A representation theorem approach to probabilistic interpretation for viscosity solutions of Isaacs equations, Probabilistic interpretation of HJB equations by the representation theorem for generators of BSDEs, Probabilistic approach for nonlinear partial differential equations and stochastic partial differential equations with Neumann boundary conditions, Viscosity solutions of system of PDEs with interconnected obstacles and nonlinear Neumann boundary conditions

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