The stochastic maximum principle in singular optimal control with recursive utilities

DOI10.1016/j.jmaa.2018.10.080zbMath1405.49017OpenAlexW2899032417MaRDI QIDQ1633566

Xiaole Xue, Shaolin Ji

Publication date: 20 December 2018

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2018.10.080

zbMATH Keywords

backward stochastic differential equationsvariational equationstochastic maximum principlesingular controlstochastic recursive optimal controlnonconvex control domain

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

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