Dynamic Programming Principle for Backward Doubly Stochastic Recursive Optimal Control Problem and Sobolev Weak Solution of The Stochastic Hamilton-Bellman Equation

no code implementations • 12 Aug 2020 • Yunhong Li, Anis. Matoussi, Lifeng Wei, Zhen Wu

In this paper, we study backward doubly stochastic recursive optimal control problem where the cost function is described by the solution of a backward doubly stochastic differential equation.

Probability Optimization and Control