Near-maximum principle for general recursive utility optimal control problem

DOI10.1080/00207179.2017.1336670zbMath1403.93199OpenAlexW2618936491MaRDI QIDQ4560986

Shuzhen Yang

Publication date: 10 December 2018

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207179.2017.1336670

zbMATH Keywords

optimal controlrecursive utilitybackward SDEsnear-maximum principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Control/observation systems governed by ordinary differential equations (93C15) Optimality conditions for problems involving randomness (49K45)

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