Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/109923
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dc.contributorDepartment of Applied Mathematicsen_US
dc.creatorLi, Yen_US
dc.creatorMatoussi, Aen_US
dc.creatorWei, Len_US
dc.creatorWu, Zen_US
dc.date.accessioned2024-11-20T07:30:23Z-
dc.date.available2024-11-20T07:30:23Z-
dc.identifier.issn2096-9457en_US
dc.identifier.urihttp://hdl.handle.net/10397/109923-
dc.language.isoenen_US
dc.publisherNational Natural Science Foundation of Chinaen_US
dc.rights© 2023 The Authors. Publishing Services by Elsevier B.V. on behalf of KeAi Communications Co. Ltd. This is an open access article under the CC BY-NC-ND license ( http://creativecommons.org/licenses/by-nc-nd/4.0/ )en_US
dc.rightsThe following publication Li, Y., Matoussi, A., Wei, L., & Wu, Z. (2025). Dynamic programming principle for backward doubly stochastic recursive optimal control problem and sobolev weak solution of the stochastic Hamilton-Jacobi-Bellman equation. Fundamental Research, 5(6), 2517–2529 is available at https://doi.org/10.1016/j.fmre.2023.08.014.en_US
dc.subjectBackward doubly stochastic differential equationen_US
dc.subjectDynamic programming principleen_US
dc.subjectHamilton-Jacobi-Bellman equationen_US
dc.subjectRecursive optimal controlen_US
dc.subjectSobolev weak solutionen_US
dc.titleDynamic programming principle for backward doubly stochastic recursive optimal control problem and sobolev weak solution of the stochastic Hamilton-Jacobi-Bellman equationen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage2517en_US
dc.identifier.epage2529en_US
dc.identifier.volume5en_US
dc.identifier.issue6en_US
dc.identifier.doi10.1016/j.fmre.2023.08.014en_US
dcterms.abstractIn this paper, we investigate a backward doubly stochastic recursive optimal control problem wherein the cost function is expressed as the solution to a backward doubly stochastic differential equation. We present the dynamical programming principle for this type of optimal control problem and establish that the value function is the unique Sobolev weak solution to the associated stochastic Hamilton-Jacobi-Bellman equation.en_US
dcterms.accessRightsopen accessen_US
dcterms.bibliographicCitationFundamental research, Nov. 2025, v. 5, no. 6, p. 2517-2529en_US
dcterms.isPartOfFundamental researchen_US
dcterms.issued2025-11-
dc.identifier.scopus2-s2.0-85185452836-
dc.identifier.eissn2667-3258en_US
dc.description.validate202411 bcchen_US
dc.description.oaVersion of Recorden_US
dc.identifier.FolderNumberOA_Scopus/WOS-
dc.description.fundingSourceOthersen_US
dc.description.fundingTextNational Natural Science Foundation of China; Shandong Provincial Natural Science Foundation; Taishan Scholars Climbing Program of Shandong; Fundamental Research Funds for the Central Universities; Ocean University of Chinaen_US
dc.description.pubStatusPublisheden_US
dc.description.oaCategoryCCen_US
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