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hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorDumitrescu, Roxana*
hal.structure.identifierLaboratoire de Probabilités et Modèles Aléatoires [LPMA]
dc.contributor.authorQuenez, Marie-Claire*
hal.structure.identifierINRIA Rocquencourt
dc.contributor.authorSulem, Agnès*
dc.date.accessioned2014-07-21T08:32:09Z
dc.date.available2014-07-21T08:32:09Z
dc.date.issued2016
dc.identifier.issn0363-0129
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/13749
dc.language.isoenen
dc.subjectHamilton-Jacobi-Bellman variational inequalities
dc.subjectRobust optimal stopping,
dc.subjectdynamic programming principle
dc.subjectviscosity solution
dc.subjectreflected backward stochastic differential equations with jumps
dc.subjectnon linear expectation
dc.subject.ddc519en
dc.titleA Weak Dynamic Programming Principle for Combined Optimal Stopping / Stochastic Control with Ef -conditional Expectations
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherINRIA Paris-Rocquencourt;France
dc.contributor.editoruniversityotherLPMA, Universit ́e Paris 7 Denis Diderot;France
dc.description.abstractenWe study a combined optimal control/stopping problem under a nonlinear expectation Ef induced by a BSDE with jumps, in a Markovian framework. The terminal reward function is only supposed to be Borelian. The value function u associated with this problem is generally irregular. We first establish a sub- (resp. super-) optimality principle of dynamic programming involving its upper- (resp. lower-) semicontinuous envelope u∗ (resp. u∗). This result, called weak dynamic programming principle (DPP), extends that obtained in [ 8 ] in the case of a classical expectation to the case of an Ef-expectation and Borelian terminal reward function. Using this weak DPP, we then prove that u∗ (resp. u∗) is a viscosity sub- (resp. super-) solution of a nonlinear Hamilton-Jacobi-Bellman variational inequality.
dc.publisher.cityParisen
dc.relation.isversionofjnlnameSIAM Journal on Control and Optimization
dc.relation.isversionofjnlvol54
dc.relation.isversionofjnlissue4
dc.relation.isversionofjnldate2016
dc.relation.isversionofjnlpages2090-2015
dc.relation.isversionofdoi10.1137/15M1027012
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.submittednonen
dc.description.ssrncandidatenon
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
dc.date.updated2018-01-22T09:08:58Z
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