论文标题
向后双随机递归最佳控制问题和随机汉密尔顿 - 贝尔曼方程的弱解决方案的动态编程原理
Dynamic Programming Principle for Backward Doubly Stochastic Recursive Optimal Control Problem and Sobolev Weak Solution of The Stochastic Hamilton-Bellman Equation
论文作者
论文摘要
在本文中，我们研究了向后双随机递归的最佳控制问题，其中成本函数是通过向后双随机微分方程的解决方案来描述的。我们给出了这种最佳控制问题的动态编程原理，并表明该值函数是相应随机的汉密尔顿 - 雅各比 - 贝尔曼方程的唯一Sobolev弱解决方案。
In this paper, we study backward doubly stochastic recursive optimal control problem where the cost function is described by the solution of a backward doubly stochastic differential equation. We give the dynamical programming principle for this kind of optimal control problem and show that the value function is the unique Sobolev weak solution for the corresponding stochastic Hamilton-Jacobi-Bellman equation.
