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 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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Year of publication:	2019
Authors:	Li, Hanwu ; Wang, Falei
Publisher:	Bielefeld : Bielefeld University, Center for Mathematical Economics (IMW)
Subject:	Sublinear expectation \| Reflected backward stochastic differential equations \| Dynamic programming principle

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Series:	Center for Mathematical Economics Working Papers ; 719
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	193068682X [GVK] hdl:10419/324265 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10015444392