论文信息 - A sufficient stochastic maximum principle for a kind of recursive optimal control problem with obstacle constraint

A sufficient stochastic maximum principle for a kind of recursive optimal control problem with obstacle constraint

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.

Zhen Wu | Haiyang Wang | Jianhui Huang

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