Dynamic programming principle for stochastic recursive optimal control problem driven by a -Brownian motion

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• 作者：Mingshang Hu^a ; ^{humingshang@sdu.edu.cn} ; Shaolin Ji^a ; ^b ; ^{jsl@sdu.edu.cn}
• 关键词：93E20 ; 60H10 ; 35K15
• 刊名：Stochastic Processes and their Applications
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：127
• 期：1
• 页码：107-134
• 全文大小：364 K
• 卷排序：127

文摘

In this paper, we study a stochastic recursive optimal control problem in which the cost functional is described by the solution of a backward stochastic differential equation driven by GG-Brownian motion. Under standard assumptions, we establish the dynamic programming principle and the related fully nonlinear HJB equation in the framework of GG-expectation. Finally, we show that the value function is the viscosity solution of the obtained HJB equation.