Near-maximum principle for general recursive utility optimal control problem

DOI10.1080/00207179.2017.1336670MaRDI QIDQ4560986zbMATH OpenOpenAlexFDO

Authors Shuzhen Yang

Publication date 10 December 2018

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207179.2017.1336670

zbMATH Keywords

backward SDEsnear-maximum principleoptimal controlrecursive utility

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Control/observation systems governed by ordinary differential equations (93C15) Optimal stochastic control (93E20)

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Cited in

(4)

• Stochastic global maximum principle for optimization with recursive utilities
• Reciprocal optimal control problems and the associated Pareto frontier
• Near-optimal control for stochastic recursive problems
• Maximization of Recursive Utilities: A Dynamic Maximum Principle Approach

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