Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation
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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.
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Cited in
(15)- The Bellman's principle of optimality in the discounted dynamic programming
- Comparison principle for Hamilton-Jacobi-Bellman equations via a bootstrapping procedure
- 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
- 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
- Dynamic programming principle and associated Hamilton-Jacobi-Bellman equation for stochastic recursive control problem with non-Lipschitz aggregator
- Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton–Jacobi–Bellman Equation
- A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
- A stochastic recursive optimal control problem under the G-expectation framework
- Path-dependent dynamic programming principles and related path-dependent PDEs under G-expectation
- Dynamic Programming Principle and Hamilton--Jacobi--Bellman Equations for Fractional-Order Systems
- Regional coalition of basin water pollution control based on differential game
- Relationship between stochastic maximum principle and dynamic programming principle under convex expectation
- Maximum principle for stochastic optimal control problem under convex expectation
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