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

SIAM Journal on Control and Optimization

Volumn 47, Issue 5, 2008, Pages 2616-2641

  Wu, Zhen ^a   Yu, Zhiyong ^a  

^a SHANDONG UNIVERSITY   (China)

Author keywords

Dynamic programming principle; Hamilton Jacobi Bellman equation; Recursive optimal control problem; Reflected backward stochastic differential equation; Viscosity solution

Indexed keywords

DIFFERENTIAL EQUATIONS; DYNAMIC PROGRAMMING; HYDRODYNAMICS; INTERSECTIONS; MEASUREMENT THEORY; MEATS; RECURSIVE FUNCTIONS; STOCHASTIC CONTROL SYSTEMS; SYSTEMS ENGINEERING; VISCOSITY;

DYNAMIC PROGRAMMING PRINCIPLE; HAMILTON-JACOBI-BELLMAN EQUATION; RECURSIVE OPTIMAL CONTROL PROBLEM; REFLECTED BACKWARD STOCHASTIC DIFFERENTIAL EQUATION; VISCOSITY SOLUTION;

PROBLEM SOLVING;

EID: 55549145777     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/060671917     Document Type: Article

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