Stochastic global maximum principle for optimization with recursive utilities
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Publication:2296089
DOI10.1186/s41546-017-0014-7zbMath1432.93380arXiv1507.03567OpenAlexW2586194770WikidataQ59519317 ScholiaQ59519317MaRDI QIDQ2296089
Publication date: 17 February 2020
Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1507.03567
maximum principlebackward stochastic differential equationsvariational equationrecursive stochastic optimal control
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)
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Cites Work
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