A Weak Dynamic Programming Principle for Combined Optimal Stopping and Stochastic Control with $\mathcal{E}^f$- expectations (1407.0416v5)

Abstract: We study a combined optimal control/stopping problem under a nonlinear expectation ${\cal E}^f$ 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 {\em sub- (resp. super-) optimality principle of dynamic programming} involving its {\em upper- (resp. lower-) semicontinuous envelope} $u^*$ (resp. $u_$). This result, called {\em weak} dynamic programming principle (DPP), extends that obtained in \cite{BT} in the case of a classical expectation to the case of an ${\cal E}^f$-expectation and Borelian terminal reward function. Using this {\em weak} DPP, we then prove that $u^$ (resp. $u_*$) is a {\em viscosity sub- (resp. super-) solution} of a nonlinear Hamilton-Jacobi-BeLLMan variational inequality.