Relationship between maximum principle and dynamic programming for stochastic recursive optimal control problems and applications

Publication date: 13 October 2014

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10)

Related Items (4)

Connection between MP and DPP for Stochastic Recursive Optimal Control Problems: Viscosity Solution Framework in the General Case ⋮ Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming ⋮ Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming ⋮ Stochastic recursive optimal control problem with time delay and applications

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