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arXiv 0704.3775math.OCmath.PR
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一类随机递归最优控制问题的动态规划原理与Hamilton-Jacobi-Bellman方程

Dynamic programming principle for one kind of stochastic recursive optimal control problem and Hamilton-Jacobi-Bellman equations

Zhen Wu, Zhiyong Yu

摘要:

本文研究了一类费用函数函数为一个反射倒向随机微分方程的解的带障碍约束的随机递归最优控制问题。我们将给出这类最优控制问题的动态规划原理,并证明其值函数是相应的Hamilton-Jacobi-Bellman方程的障碍问题的唯一黏性解。

英文摘要:

In this paper, we study one kind of stochastic recursive optimal control problem with the obstacle constraints for the cost function where the cost function is described by the solution of one reflected backward stochastic differential equations. We will give the dynamic programming principle for this kind of optimal control problem and show that the value function is the unique viscosity solution of the obstacle problem for the corresponding Hamilton-Jacobi-Bellman equations.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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