Stochastic recursive optimal control problem with obstacle constraint involving diffusion type control

摘要

This paper concerns a kind of stochastic optimal control problem with recursive utility described by a reflected backward stochastic differential equation (RBSDE, for short) involving diffusion type control which covers regular control problem, singular control problem and impulse control problem. To begin with, the existence and uniqueness of solution for RBSDEs involving diffusion type control is derived. Then, for the related recursive optimal control problem with obstacle constraint, a sufficient condition to obtain the optimal regular control and diffusion type control is provided. Hence, based on the connection between RBSDE and optimal stopping problem, a class of recursive optimal mixed control problem involving diffusion type control is considered to illustrate our theoretical result, and here the explicit optimal control as well as the stopping time are obtained.