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Dynamic programming principle for backward doubly stochastic recursive optimal control problem and sobolev weak
Yunhong Li1, Anis Matoussi2, Lifeng Wei3,4
1Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong, China.
None:
In this paper, we investigate a backward doubly stochastic recursive optimal control problem wherein the cost function is expressed as the solution to a backward doubly stochastic differential equation. We present the dynamical programming principle for this type of optimal control problem and establish that the value function is the unique Sobolev weak solution to the associated stochastic Hamilton-Jacobi-Bellman equation.
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