Dynamic programming principle for one kind of stochastic recursive optimal control problem with Markovian switching

نویسندگان

چکیده

In this paper, we study one kind of stochastic recursive optimal control problem with Markovian Switching. problem, the cost functional is described by solution backward differential equations Markov chains. We prove dynamic programming principle for and show that value function unique viscosity corresponding Hamilton-Jacobi-Bellman equation.

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ژورنال

عنوان ژورنال: Mathematical Control and Related Fields

سال: 2023

ISSN: ['2156-8499', '2156-8472']

DOI: https://doi.org/10.3934/mcrf.2023019