Optimal stochastic control with recursive cost functionals of stochastic differential systems reflected in a domain

DOI10.1051/cocv/2014062zbMath1341.49020arXiv1202.1412OpenAlexW2056909574MaRDI QIDQ2949592

Juan Li, Shanjian Tang

Publication date: 2 October 2015

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.1412

zbMATH Keywords

Hamilton-Jacobi-Bellman equationviscosity solutionbackward stochastic differential equationsvalue functionoptimal stochastic controldynamic programming principlenonlinear Neumann boundary

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Nonlinear elliptic equations (35J60) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Existence of optimal solutions to problems involving randomness (49J55)

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