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Stochastic Optimal Control Problem with Obstacle Constraints in Sublinear Expectation Framework

Author

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  • Hanwu Li

    (Shandong University
    Bielefeld University)

  • Falei Wang

    (Shandong University)

Abstract

In this paper, we consider a stochastic optimal control problem, in which the cost function is defined through a reflected backward stochastic differential equation in sublinear expectation framework. Besides, we study the regularity of the value function and establish the dynamic programming principle. Moreover, we prove that the value function is the unique viscosity solution of the related Hamilton–Jacobi–Bellman–Isaac equation.

Suggested Citation

  • Hanwu Li & Falei Wang, 2019. "Stochastic Optimal Control Problem with Obstacle Constraints in Sublinear Expectation Framework," Journal of Optimization Theory and Applications, Springer, vol. 183(2), pages 422-439, November.
    • Handle: RePEc:spr:joptap:v:183:y:2019:i:2:d:10.1007_s10957-019-01546-3
    DOI: 10.1007/s10957-019-01546-3
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    References listed on IDEAS

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