Dynamic programming principle for one kind of stochastic recursive optimal control problem and Hamilton-Jacobi-Bellman equations

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dc.creatorWu, Zhen
dc.creatorYu, Zhiyong
dc.date2007-04-28
dc.date.accessioned2026-07-07T07:58:38Z
dc.date.available2026-07-07T07:58:38Z
dc.descriptionIn this paper, we study one kind of stochastic recursive optimal control problem with the obstacle constraints for the cost function where the cost function is described by the solution of one reflected backward stochastic differential equations. We will give the dynamic programming principle for this kind of optimal control problem and show that the value function is the unique viscosity solution of the obstacle problem for the corresponding Hamilton-Jacobi-Bellman equations.
dc.description31 pages
dc.identifierhttps://arxiv.org/abs/0704.3775
dc.identifierhttp://arxiv.org/abs/0704.3775
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/128080
dc.subjectOptimization and Control
dc.subjectProbability
dc.subject93E20; 60H10; 35K15
dc.titleDynamic programming principle for one kind of stochastic recursive optimal control problem and Hamilton-Jacobi-Bellman equations
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