Stochastic global maximum principle for optimization with recursive utilities

DOI10.1186/S41546-017-0014-7zbMATH Open1432.93380arXiv1507.03567OpenAlexW2586194770WikidataQ59519317 ScholiaQ59519317MaRDI QIDQ2296089FDOQ2296089

Mingshang Hu

Publication date: 17 February 2020

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Abstract: We obtain the variational equations for backward stochastic differential equations in recursive stochastic optimal control problems, and then get the maximum principle which is novel. The control domain need not be convex, and the generator of the backward stochastic differential equation can contain z.

Full work available at URL: https://arxiv.org/abs/1507.03567

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zbMATH Keywords

maximum principlebackward stochastic differential equationsvariational equationrecursive stochastic optimal control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

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Cited In (32)

• Second-order necessary conditions for optimal control with recursive utilities
• A partially observed non-zero sum differential game of forward-backward stochastic differential equations and its application in finance
• Spike Variations for Stochastic Volterra Integral Equations
• Maximum Principle for Stochastic Recursive Optimal Control Problem under Model Uncertainty
• Maximization of Recursive Utilities: A Dynamic Maximum Principle Approach
• A second-order maximum principle for singular optimal controls with recursive utilities of stochastic delay systems
• Singular optimal control problems with recursive utilities of mean-field type
• Maximum Principle for Optimal Control of Stochastic Evolution Equations with Recursive Utilities
• Recursive Stochastic Algorithms for Global Optimization in $\mathbb{R}^d $
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• Extended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems
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• A Global Stochastic Maximum Principle for Fully Coupled Forward-Backward Stochastic Systems
• Stochastic maximum principle for systems driven by local martingales with spatial parameters
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• A Global Optimality Principle for Fully Coupled Mean-field Control Systems
• $L^p$-theory of forward-backward stochastic differential equations
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