Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation
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Publication:5864584
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
(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
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