Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problem under volatility uncertainty (Q6081020)
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scientific article; zbMATH DE number 7754970
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problem under volatility uncertainty |
scientific article; zbMATH DE number 7754970 |
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Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problem under volatility uncertainty (English)
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25 October 2023
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\(G\)-expectation
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backward stochastic differential equation
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dynamic programming principle
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maximum principle
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stochastic recursive optimal control
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