Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problem under volatility uncertainty (Q6081020)
From MaRDI portal
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 |
Statements
Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problem under volatility uncertainty (English)
0 references
25 October 2023
0 references
\(G\)-expectation
0 references
backward stochastic differential equation
0 references
dynamic programming principle
0 references
maximum principle
0 references
stochastic recursive optimal control
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references