most citedDynamic programming principle for one kind of stochastic recursive optimal control problem and Hamilton-Jacobi-Bellman equations

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math.OC2007★ 7 cited

Dynamic programming principle for one kind of stochastic recursive optimal control problem and Hamilton-Jacobi-Bellman equations

Zhen Wu, Zhiyong Yu

In this paper, we study one kind of stochastic recursive optimal control problem with the obstacle constraints for the cost function where the cost function is described by the sol…