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

DOI10.3934/MCRF.2023019zbMATH Open1544.93843MaRDI QIDQ6556594FDOQ6556594

Authors: Li Guo, Zhen Wu 

Publication date: 17 June 2024

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

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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)

Cites Work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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• Optimal Switching for Ordinary Differential Equations
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• Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations
• A stochastic approach to a new type of parabolic variational inequalities
• Reflected and doubly reflected BSDEs with jumps: a priori estimates and comparison
• About the pricing equations in finance
• Stochastic differential equations, backward SDEs, partial differential equations
• A converse comparison theorem for BSDEs and related properties of \(g\)-expectation
• Viscosity solutions of systems of PDEs with interconnected obstacles and switching problem
• Two-player zero-sum stochastic differential games with regime switching

Cited In (1)

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

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