Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton–Jacobi–Bellman Equation

DOI10.1137/060671917MaRDI QIDQ3399259zbMATH OpenOpenAlexFDO

Authors Zhen Wu, Zhiyong Yu

Publication date 29 September 2009

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

Full work available at URL https://arxiv.org/abs/0704.3775

zbMATH Keywords

Hamilton-Jacobi-Bellman equationviscosity solutionreflected backward stochastic differential equationdynamic programming principlerecursive optimal control problem

Mathematics Subject Classification ID

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)

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.

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Cited in

(34)

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• Singular Optimal Stochastic Controls II: Dynamic programming
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• The maximum principle for stochastic differential systems with general cost functional
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• Maximum principle for forward–backward SDEs with a general cost functional
• A stochastic recursive optimal control problem under the G-expectation framework
• Connection between MP and DPP for stochastic recursive optimal control problems: viscosity solution framework in the general case
• Retracted: ``Multidimensional viscosity solution theory of semi-linear partial differential equations
• Dynamic Programming Principle and Hamilton--Jacobi--Bellman Equations for Fractional-Order Systems
• Dynamic programming principle and associated Hamilton-Jacobi-Bellman equation for stochastic recursive control problem with non-Lipschitz aggregator
• Stochastic verification theorem of forward-backward controlled systems for viscosity solutions
• Stochastic differential games with reflection and related obstacle problems for Isaacs equations
• A sufficient stochastic maximum principle for a kind of recursive optimal control problem with obstacle constraint
• Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation
• A BSDE approach to stochastic differential games involving impulse controls and HJBI equation

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