Dynamic programming principle for one kind of stochastic recursive optimal control problem with Markovian switching

DOI10.3934/MCRF.2023019MaRDI QIDQ6556594zbMATH OpenFDO

Authors Li Guo, Zhen Wu

Publication date 17 June 2024

Published in Mathematical Control and Related Fields (Search for Journal in Brave)

zbMATH Keywords

Markov chainsHamilton-Jacobi-Bellman equationviscosity solutiondynamic programming principlerecursive optimal control problem

Mathematics Subject Classification ID

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) Hamilton-Jacobi equations in optimal control and differential games (49L12)

Recommendations

• Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton–Jacobi–Bellman Equation
• Dynamic programming principle for stochastic recursive optimal control problem driven by a \(G\)-Brownian motion
• Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming
• A general maximum principle for progressive optimal stochastic control problems with Markov regime-switching

Cites work

• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• A stochastic approach to a new type of parabolic variational inequalities
• About the pricing equations in finance
• Adapted solution of a backward stochastic differential equation
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations and integral-partial differential equations
• Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton–Jacobi–Bellman Equation
• On pricing and hedging options in regime-switching models with feedback effect
• Optimal Switching for Ordinary Differential Equations
• Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
• Stochastic Differential Equations with Markovian Switching
• Stochastic Differential Utility
• Stochastic differential equations, backward SDEs, partial differential equations
• Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations
• Stock trading: an optimal selling rule
• Two-player zero-sum stochastic differential games with regime switching
• Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem

Cited in

(1)

• Two-player zero-sum stochastic differential games with regime switching and corresponding Hamilton-Jacobi-Bellman-Isaacs' equations

This page was built for publication: Dynamic programming principle for one kind of stochastic recursive optimal control problem with Markovian switching

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6556594)