Stochastic maximum principle, dynamic programming principle, and their relationship for fully coupled forward-backward stochastic controlled systems

DOI10.1051/cocv/2020051zbMath1457.93084arXiv1803.06804OpenAlexW3044037891MaRDI QIDQ5854373

Xiaole Xue, Shaolin Ji, Ming Shang Hu

Publication date: 17 March 2021

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.06804

zbMATH Keywords

viscosity solutionmonotonicity conditiondynamic programming principlefully coupled forward-backward stochastic differential equationsglobal stochastic maximum principle

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Initial value problems for second-order parabolic equations (35K15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (3)

Maximum principle for stochastic optimal control problem of forward–backward stochastic difference systems ⋮ Maximum principle for stochastic optimal control problem of finite state forward‐backward stochastic difference systems ⋮ Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problem under volatility uncertainty

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