Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton–Jacobi–Bellman Equation
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Publication:3399259
DOI10.1137/060671917zbMATH Open1171.49022arXiv0704.3775OpenAlexW2003293420MaRDI QIDQ3399259FDOQ3399259
Authors: Zhen Wu, Zhiyong Yu 
Publication date: 29 September 2009
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Abstract: In this paper, we study one kind of stochastic recursive optimal control problem with the obstacle constraints for the cost function where the cost function is described by the solution of one reflected backward stochastic differential equations. We will give the dynamic programming principle for this kind of optimal control problem and show that the value function is the unique viscosity solution of the obstacle problem for the corresponding Hamilton-Jacobi-Bellman equations.
Full work available at URL: https://arxiv.org/abs/0704.3775
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Hamilton-Jacobi-Bellman equationviscosity solutionreflected backward stochastic differential equationdynamic programming principlerecursive optimal control problem
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial value problems for second-order parabolic equations (35K15) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)
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- Stochastic differential games with reflection and related obstacle problems for Isaacs equations
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- Necessary and sufficient conditions for stochastic differential systems with multi-time state cost functional
- Necessary condition for near optimal control of linear forward-backward stochastic differential equations
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