A Weak Dynamic Programming Principle for Combined Optimal Stopping/Stochastic Control with ${\cal E}^{f}$-expectations

DOI10.1137/15M1027012zbMath1343.93097arXiv1407.0416MaRDI QIDQ2818213

Agnès Sulem, Roxana Dumitrescu, Marie-Claire Quenez

Publication date: 6 September 2016

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.0416

zbMATH Keywords

viscosity solutionbackward stochastic differential equationnonlinear expectationweak dynamic programming principleHamilton-Jacobi-Bellman variational inequalityMarkovian stochastic control\({\mathcal E}^f\)-expectationmixed optimal control/stopping

Mathematics Subject Classification ID

Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Diffusion processes (60J60) Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10)

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