Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming (Q898994): Difference between revisions

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Latest revision as of 05:12, 11 July 2024

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Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming
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    Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming (English)
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    21 December 2015
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    stochastic recursive optimal control
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    stochastic differential equations
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    stochastic maximum principle
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    dynamic programming
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    \(G\)-expectation
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    \(G\)-Brownian motion
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    recursive utility
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    portfolio optimization
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