Stochastic Optimal Control Problem with Obstacle Constraints in Sublinear Expectation Framework

Hanwu Li and Falei Wang
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Hanwu Li: Center for Mathematical Economics, Bielefeld University
Falei Wang: Center for Mathematical Economics, Bielefeld University

No 719, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld 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.

Keywords: Sublinear expectation; Reflected backward stochastic differential equations; Dynamic programming principle (search for similar items in EconPapers)
Pages: 25
Date: 2025-07-09
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https://pub.uni-bielefeld.de/download/3005045/3005046 First Version, 2019 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:bie:wpaper:719

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