Dynamic Programming Principle for Backward Doubly Stochastic Recursive Optimal Control Problem and Sobolev Weak Solution of The Stochastic Hamilton-Bellman Equation

Yunhong Li, Anis. Matoussi, Lifeng Wei +1

In this paper, we study backward doubly stochastic recursive optimal control problem where the cost function is described by the solution of a backward doubly stochastic differenti…