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• W2003293420 abstract "In this paper, we study one kind of stochastic recursive optimal control problem with the obstacle constraint for the cost functional described by the solution of a reflected backward stochastic differential equation. We give the dynamic programming principle for this kind of optimal control problem and show that the value function is the unique viscosity solution of the obstacle problem for the corresponding Hamilton–Jacobi–Bellman equation." @default.
• W2003293420 created "2016-06-24" @default.
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• W2003293420 date "2008-01-01" @default.
• W2003293420 modified "2023-10-17" @default.
• W2003293420 title "Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton–Jacobi–Bellman Equation" @default.
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• W2003293420 doi "https://doi.org/10.1137/060671917" @default.
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