Stochastic maximum principle for recursive optimal control problems with varying terminal time

DOI10.1016/J.JMAA.2023.127693zbMath1530.93551arXiv2304.07026MaRDI QIDQ6063637

Shuzhen Yang, Jiaqi Wang

Publication date: 8 November 2023

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

Full work available at URL: https://arxiv.org/abs/2304.07026

zbMATH Keywords

stochastic maximum principleFBSDEsvarying terminal time\(\rho\)-moving variational equation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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