Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/324265 
Year of Publication: 
2019
Series/Report no.: 
Center for Mathematical Economics Working Papers No. 719
Publisher: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
Abstract: 
In this paper we consider a stochastic optimal control problem, in which the cost function is defined through a reflected backward stochastic differential equation in sublinear expectation framework. Besides, we study the regularity of the value function and establish the dynamic programming principle. Moreover, we prove that the value function is the unique viscosity solution of the related Hamilton-Jacobi-Bellman-Isaac equation.
Subjects: 
Sublinear expectation
Reflected backward stochastic differential equations
Dynamic programming principle
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Working Paper

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