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 |
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| container_title | Journal of optimization theory and applications |
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| creator | Li, Hanwu Wang, Falei |
| description | 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. |
| doi_str_mv | 10.1007/s10957-019-01546-3 |
| format | Article |
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Besides, we study the regularity of the value function and establish the dynamic programming principle. 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| ispartof | Journal of optimization theory and applications, 2019-11, Vol.183 (2), p.422-439 |
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| language | eng |
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| source | Springer Nature - Complete Springer Journals |
| subjects | 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 |
| title | Stochastic Optimal Control Problem with Obstacle Constraints in Sublinear Expectation Framework |
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