Articles with "bellman inequality" as a keyword



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Singular optimal controls of stochastic recursive systems and Hamilton–Jacobi–Bellman inequality

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Published in 2019 at "Journal of Differential Equations"

DOI: 10.1016/j.jde.2018.11.006

Abstract: In this paper, we study the optimal singular controls for stochastic recursive systems, in which the control has two components: the regular control, and the singular control. Under certain assumptions, we establish the dynamic programming… read more here.

Keywords: controls stochastic; recursive systems; stochastic recursive; bellman inequality ... See more keywords