The relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients
DOI10.1051/cocv/2024078MaRDI QIDQ6652886
Yuchao Dong, Qi Zhang, Qingxin Meng
Publication date: 13 December 2024
Published in: European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations (Search for Journal in Brave)
maximum principlebackward stochastic partial differential equationstochastic recursive controldynamic programming principlerandom coefficient
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)
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