Related papers: Reflected stochastic recursive control problems wi…

In this paper we investigate a kind of optimal control problem of coupled forward-backward stochastic system with jumps whose cost functional is defined through a coupled forward-backward stochastic differential equation with Brownian…

In this paper, we study one kind of stochastic recursive optimal control problem with the obstacle constraints for the cost function where the cost function is described by the solution of one reflected backward stochastic differential…

In this paper we study the optimal stochastic control problem for stochastic differential systems reflected in a domain. The cost functional is a recursive one, which is defined via generalized backward stochastic differential equations…

We consider a general class of stochastic optimal control problems, where the state process lives in a real separable Hilbert space and is driven by a cylindrical Brownian motion and a Poisson random measure; no special structure is imposed…

This paper is devoted to studying an infinite time horizon stochastic recursive control problem with jumps, where infinite time horizon stochastic differential equation and backward stochastic differential equation with jumps describe the…

In this paper, we study a stochastic recursive optimal control problem in which the cost functional is described by the solution of a backward stochastic differential equation driven by G-Brownian motion. Under standard assumptions, we…

In this paper, we study a stochastic recursive optimal control problem in which the system is governed by a functional forward-backward stochastic differential equation. Under standard assumptions, we establish the dynamic programming…

In this paper, we study a class of multi-dimensional reflected backward stochastic differential equations when the noise is driven by a Brownian motion and an independent Poisson point process, and when the solution is forced to stay in a…

In this work we study the stochastic recursive control problem, in which the aggregator (or called generator) of the backward stochastic differential equation describing the running cost is continuous but not necessarily Lipschitz with…

In this paper, we study the delayed stochastic recursive optimal control problem with a non-Lipschitz generator, in which both the dynamics of the control system and the recursive cost functional depend on the past path segment of the state…

In this paper, we study a stochastic recursive optimal control problem in which the objective functional is described by the solution of a backward stochastic differential equation driven by G-Brownian motion. Under standard assumptions, we…

This paper studies stochastic control problems motivated by optimal consumption with wealth benchmark tracking. The benchmark process is modeled by a combination of a geometric Brownian motion and a running maximum process, indicating its…

In this paper, the stochastic verification theorems for stochastic control problems of reflected forward-backward stochastic differential equations are studied. We carry out the work within the frameworks of classical and viscosity…

This paper is concerned with the stochastic recursive optimal control problem with mixed delay. The connection between Pontryagin's maximum principle and Bellman's dynamic programming principle is discussed. Without containing any…

This paper studies the stochastic optimal control of jump-diffusion processes and the associated fully nonlinear backward stochastic Hamilton--Jacobi--Bellman (BSHJB) equations. We establish the dynamic programming principle (DPP) via…

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 paper deals with a stochastic recursive optimal control problem, where the diffusion coefficient depends on the control variable and the control domain is not necessarily convex. We focus on the connection between the general maximum…

Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of infinite time-horizon singular stochastic control problems for…

This paper is concerned with a stochastic recursive optimal control problem with time delay, where the controlled system is described by a stochastic differential delayed equation (SDDE) and the cost functional is formulated as the solution…

This paper is concerned with stochastic impulse control problems in which the running cost changes depending on the impulse control. Because of such a dependence, it brings several difficulties when the usual dynamic programming principle…