Stochastic recursive optimal control problem with obstacle constraint involving diffusion type control

DOI10.1186/s13662-020-02844-1zbMath1485.93642OpenAlexW3045185204MaRDI QIDQ2114262

Zhenda Xu

Publication date: 15 March 2022

Published in: Advances in Difference Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1186/s13662-020-02844-1

zbMATH Keywords

optimal control problemsufficient conditionrecursive utilityreflected backward stochastic differential equationdiffusion type control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45)

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