Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation

DOI10.1051/COCV/2022019zbMATH Open1492.93199arXiv2106.02814OpenAlexW3168988147WikidataQ114011477 ScholiaQ114011477MaRDI QIDQ5864584FDOQ5864584

Xiaojuan Li, Shaolin Ji, Mingshang Hu

Publication date: 8 June 2022

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

Abstract: In this paper, we study a stochastic recursive optimal control problem in which the value functional is defined by the solution of a backward stochastic differential equation (BSDE) under $ildeG$-expectation. Under standard assumptions, we establish the comparison theorem for this kind of BSDE and give a novel and simple method to obtain the dynamic programming principle. Finally, we prove that the value function is the unique viscosity solution of a type of fully nonlinear HJB equation.

Full work available at URL: https://arxiv.org/abs/2106.02814

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zbMATH Keywords

backward stochastic differential equationHamilton-Jacobi-Bellman equationdynamic programming principlestochastic recursive optimal control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20) Hamilton-Jacobi equations in optimal control and differential games (49L12)

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Cited In (6)

• Dynamic intertemporal utility optimization by means of Riccati transformation of Hamilton-Jacobi-Bellman equation
• Comparison principle for Hamilton-Jacobi-Bellman equations via a bootstrapping procedure
• Dynamic Programming Principle and Hamilton--Jacobi--Bellman Equations for Fractional-Order Systems
• Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton–Jacobi–Bellman Equation
• On the basis of the Hamilton-Jacobi-Bellman equation in economic dynamics
• The Bellman's principle of optimality in the discounted dynamic programming

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