Stochastic recursive optimal control problem of reflected stochastic differential systems

作     者：Feng, Xinwei 

作者机构：Chinese Univ Hong Kong Dept Stat Shatin Hong Kong Peoples R China 

出 版 物：《INTERNATIONAL JOURNAL OF CONTROL》 (国际控制杂志)

年 卷 期：2020年第93卷第9期

页      面：2187-2198页

核心收录：

学科分类：0711[理学-系统科学] 07[理学] 08[工学] 070105[理学-运筹学与控制论] 081101[工学-控制理论与控制工程] 0811[工学-控制科学与工程] 0701[理学-数学] 071101[理学-系统理论] 

基　　金：National Natural Science Foundation of China [11601280  11601282] 

主　　题：Stochastic recursive optimal control generalised reflected backward stochastic differential equations dynamic programming principle viscosity solution nonlinear Neumann boundary condition 

摘      要：In this paper, we study one kind of stochastic recursive optimal control problem in which the control system is stochastic differential equations reflected in a domain and the cost functional is defined by generalised backward stochastic differential equations with reflection. We establish the dynamic programming principle for the value function and show that it is a viscosity solution of the associated obstacle problem for the corresponding Hamilton-Jacobi-Bellman equation with a nonlinear Neumann boundary condition.