Maximum principle of stochastic optimal control problems with model uncertainty

DOI10.1007/S10957-025-02786-2MaRDI QIDQ6941464zbMATH OpenFDO

Authors Tao Hao, Jiaqiang Wen, Jie Xiong

Publication date 19 August 2025

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

regime switchingmodel uncertaintymaximum principleforward-backward stochastic differential equationpartial information

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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