Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming (Q898994): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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