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李邯武

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Stochastic Optimal Control Problem with Obstacle Constraints in Sublinear Expectation Framework

Affiliation of Author(s):

山东大学
Journal:

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
Place of Publication:

America
Key Words:

Sublinear expectation, Reflected backward stochastic differential equations, Dynamic programming principle
Abstract:

In this paper, we consider a stochastic optimal control problem, in which the cost function is defined through a reflected backward stochastic differential equation in sublinear expectation framework. Besides, we study the regularity of the value function and establish the dynamic programming principle. Moreover, we prove that the value function is the unique viscosity solution of the related Hamilton-Jacobi-Bellman-Isaac equation.
First Author:

Hanwu Li
Correspondence Author:

Falei Wang
Discipline:

Operations Research & Management Science, Mathematics
Volume:

183
Issue:

2
Page Number:

422-439
ISSN No.:

0022-3239
Translation or Not:

no
Date of Publication:

4376-12-01