Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation
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Publication:5864584
DOI10.1051/COCV/2022019zbMATH Open1492.93199arXiv2106.02814OpenAlexW3168988147WikidataQ114011477 ScholiaQ114011477MaRDI QIDQ5864584FDOQ5864584
Authors: Shaolin Ji, Xiaojuan Li, 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 -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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backward stochastic differential equationHamilton-Jacobi-Bellman equationdynamic programming principlestochastic recursive optimal control
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 (11)
- Dynamic programming principle and viscosity solutions of Hamilton-Jacobi-Bellman equations for stochastic recursive control problem with non-Lipschitz generator
- Dynamic intertemporal utility optimization by means of Riccati transformation of Hamilton-Jacobi-Bellman equation
- Path-dependent dynamic programming principles and related path-dependent PDEs under \(G\)-expectation
- A stochastic recursive optimal control problem under the G-expectation framework
- Dynamic programming principle and associated Hamilton-Jacobi-Bellman equation for stochastic recursive control problem with non-Lipschitz aggregator
- 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
- A weak dynamic programming principle for combined optimal stopping/stochastic control with \({\mathcal E}^{f}\)-expectations
- The Bellman's principle of optimality in the discounted dynamic programming
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