SIAM Journal on Control and Optimization, Vol.58, No.2, 986-997, 2020
OPTIMAL FEEDBACK CONTROLLERS FOR A STOCHASTIC DIFFERENTIAL EQUATION WITH REFLECTION
The optimal control problem governed by the stochastic reflection problem associated with a closed convex set K in R-d is reduced via the corresponding Kolmogorov equation to a deterministic bilinear parabolic optimal control problem on (0, T) x K. In this way, one gets directly a stochastic optimal feedback controller by avoiding the standard dynamic programming equation associated with the stochastic optimal control problem.
Keywords:stochastic variational inequality;Kolmogorov operator;feedback controller;stochastic process