91,055 research outputs found
Weak Dynamic Programming for Generalized State Constraints
We provide a dynamic programming principle for stochastic optimal control
problems with expectation constraints. A weak formulation, using test functions
and a probabilistic relaxation of the constraint, avoids restrictions related
to a measurable selection but still implies the Hamilton-Jacobi-Bellman
equation in the viscosity sense. We treat open state constraints as a special
case of expectation constraints and prove a comparison theorem to obtain the
equation for closed state constraints.Comment: 36 pages;forthcoming in 'SIAM Journal on Control and Optimization
Stochastic Control Representations for Penalized Backward Stochastic Differential Equations
This paper shows that penalized backward stochastic differential equation
(BSDE), which is often used to approximate and solve the corresponding
reflected BSDE, admits both optimal stopping representation and optimal control
representation. The new feature of the optimal stopping representation is that
the player is allowed to stop at exogenous Poisson arrival times. The
convergence rate of the penalized BSDE then follows from the optimal stopping
representation. The paper then applies to two classes of equations, namely
multidimensional reflected BSDE and reflected BSDE with a constraint on the
hedging part, and gives stochastic control representations for their
corresponding penalized equations.Comment: 24 pages in SIAM Journal on Control and Optimization, 201
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