Article ID Journal Published Year Pages File Type
7151485 Systems & Control Letters 2018 4 Pages PDF
Abstract
In this paper, we study a kind of recursive optimal control problem whose utility functional is described by the solution of a reflected backward stochastic differential equation (BSDE). We obtain a sufficient stochastic maximum principle of optimal controls. Moreover, a mixed optimal control problem is considered to illustrate the application of our theoretical result and the optimal control and stopping strategy are given.
Related Topics
Physical Sciences and Engineering Engineering Control and Systems Engineering
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