Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming
DOI10.1016/j.cam.2015.10.034zbMath1335.93146OpenAlexW2185023044MaRDI QIDQ898994
Publication date: 21 December 2015
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2015.10.034
dynamic programmingstochastic differential equationsstochastic maximum principleportfolio optimizationrecursive utility\(G\)-Brownian motion\(G\)-expectationstochastic recursive optimal control
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10)
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