Stochastic recursive optimal control problem with obstacle constraint involving diffusion type control
DOI10.1186/s13662-020-02844-1zbMath1485.93642OpenAlexW3045185204MaRDI QIDQ2114262
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
optimal control problemsufficient conditionrecursive utilityreflected backward stochastic differential equationdiffusion type control
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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