Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming (Q898994): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.cam.2015.10.034 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2185023044 / rank | |||
Normal rank | |||
Revision as of 20:10, 19 March 2024
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 |
scientific article |
Statements
Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming (English)
0 references
21 December 2015
0 references
stochastic recursive optimal control
0 references
stochastic differential equations
0 references
stochastic maximum principle
0 references
dynamic programming
0 references
\(G\)-expectation
0 references
\(G\)-Brownian motion
0 references
recursive utility
0 references
portfolio optimization
0 references
