Stochastic Optimal Control Problem with Obstacle Constraints in Sublinear Expectation Framework

Stochastic Optimal Control Problem with Obstacle Constraints in Sublinear Expectation Framework

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 princi...

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Veröffentlicht in:Journal of optimization theory and applications 2019-11, Vol.183 (2), p.422-439
Hauptverfasser: Li, Hanwu, Wang, Falei
Format: Artikel
Sprache:eng
Schlagworte:
Applications of Mathematics
Calculus of Variations and Optimal Control
Optimization
Differential equations
Dynamic programming
Engineering
Mathematics
Mathematics and Statistics
Operations Research/Decision Theory
Optimal control
Optimization
Theory of Computation
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Zusammenfassung: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.
ISSN:0022-3239
1573-2878
DOI:10.1007/s10957-019-01546-3