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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