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.
第一作者：
Hanwu Li
通讯作者：
Falei Wang
学科门类：
Operations Research & Management Science, Mathematics
