Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7151485 | Systems & Control Letters | 2018 | 4 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Engineering
Control and Systems Engineering
Authors
Jianhui Huang, Haiyang Wang, Zhen Wu,