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所属单位：
山东大学
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论文名称：
Stochastic Optimal Control Problem with Obstacle Constraints in Sublinear Expectation Framework
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发表刊物：
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
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刊物所在地：
America
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关键字：
Sublinear expectation, Reflected backward stochastic differential equations, Dynamic programming principle
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摘要：
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.
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第一作者：
Hanwu Li
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通讯作者：
Falei Wang
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学科门类：
Operations Research & Management Science, Mathematics
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卷号：
183
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期号：
2
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页面范围：
422-439
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ISSN号：
0022-3239
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是否译文：
否
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发表时间：
4376-12
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发布时间：
2021-10-22
