SIAM Journal on Control and Optimization, Vol.47, No.5, 2616-2641, 2008
DYNAMIC PROGRAMMING PRINCIPLE FOR ONE KIND OF STOCHASTIC RECURSIVE OPTIMAL CONTROL PROBLEM AND HAMILTON-JACOBI-BELLMAN EQUATION
In this paper, we study one kind of stochastic recursive optimal control problem with the obstacle constraint for the cost functional described by the solution of a reflected backward stochastic differential equation. We 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 equation.
Keywords:reflected backward stochastic differential equation;recursive optimal control problem;dynamic programming principle;Hamilton-Jacobi-Bellman equation;viscosity solution