SIAM Journal on Control and Optimization, Vol.55, No.2, 818-834, 2017
FIRST ORDER BSPDEs IN HIGHER DIMENSION FOR OPTIMAL CONTROL PROBLEMS
This paper studies the first order backward stochastic partial differential equations suggested earlier for a case of multidimensional state domain with a boundary. These equations represent analogues of Hamilton-Jacobi-Bellman equations and allow one to construct the value function for stochastic optimal control problems with unspecified dynamics where the underlying processes do not necessarily satisfy stochastic differential equations of a known kind with a given structure. The problems considered arise in financial modeling.
Keywords:stochastic optimal control;Hamilton-Jacobi-Bellman equations;backward SPDEs;first order BSPDEs