Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions
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Publication:5408037
DOI10.1002/oca.2055zbMath1284.93264OpenAlexW1570832990MaRDI QIDQ5408037
Publication date: 8 April 2014
Published in: Optimal Control Applications and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/oca.2055
maximum principlestochastic optimal controlbackward stochastic differential equationrecursive utilityjump diffusionsdynamic programming principle
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Methods involving semicontinuity and convergence; relaxation (49J45)
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