Optimal Stochastic Control with Recursive Cost Functionals of Stochastic Differential Systems Reflected in a DomainReportar como inadecuado



 Optimal Stochastic Control with Recursive Cost Functionals of Stochastic Differential Systems Reflected in a Domain


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In this paper we study the optimal stochastic control problem for stochastic differential systems reflected in a domain. The cost functional is a recursive one, which is defined via generalized backward stochastic differential equations developed by Pardoux and Zhang 20. The value function is shown to be the unique viscosity solution to the associated Hamilton-Jacobi-Bellman equation, which is a fully nonlinear parabolic partial differential equation with a nonlinear Neumann boundary condition. For this, we also prove some new estimates for stochastic differential systems reflected in a domain.



Autor: Juan Li; Shanjian Tang

Fuente: https://archive.org/







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