Dynamic programming principle for one kind of stochastic recursive optimal control problem with Markovian switching

DOI10.3934/mcrf.2023019zbMath1544.93843MaRDI QIDQ6556594

Zhen Wu, Li Guo

Publication date: 17 June 2024

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

zbMATH Keywords

Hamilton-Jacobi-Bellman equationMarkov chainsviscosity solutiondynamic programming principlerecursive optimal control problem

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Hamilton-Jacobi equations in optimal control and differential games (49L12)

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