Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming (Q898994)
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scientific article; zbMATH DE number 6522848
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| English | Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming |
scientific article; zbMATH DE number 6522848 |
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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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0.9520006
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0.9482786
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0.9467244
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0.9452086
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0.9423133
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0.94195664
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0.93613726
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0.93562657
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