The connection between the maximum principle and dynamic programming in stochastic control

DOI10.1080/17442509008833645zbMATH Open0711.93099OpenAlexW1972204045MaRDI QIDQ3496274FDOQ3496274

Authors: Xun Yu Zhou 

Publication date: 1990

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509008833645

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zbMATH Keywords

dynamic programmingmaximum principlesuper- and sub-differential

Mathematics Subject Classification ID

Nonsmooth analysis (49J52) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)

Cited In (20)

• Characterization of optimality for controlled diffusion processes
• Relationship between maximum principle and dynamic programming for stochastic recursive optimal control problems and applications
• Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions
• First and second order necessary conditions for stochastic optimal control problems
• Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problem under volatility uncertainty
• The connection between DPP and MP for the fully coupled forward-backward stochastic control systems
• Connection between MP and DPP for stochastic recursive optimal control problems: viscosity solution framework in the general case
• On the relationship between the stochastic maximum principle and dynamic programming in singular stochastic control
• The existence and uniqueness of viscosity solution to a kind of Hamilton-Jacobi-Bellman equation
• Maximum principle, dynamic programming and their connection in deterministic control
• On consistent regularities of control and value functions
• Stochastic maximum principle for stochastic recursive optimal control problem under volatility ambiguity
• Stochastic maximum principle, dynamic programming principle, and their relationship for fully coupled forward-backward stochastic controlled systems
• Remarks on optimal controls of stochastic partial differential equations
• Optimal control of diffusions: A verification theorem for viscosity solutions
• Certain hypotheses in optimal control theory and the relationship of the maximum principle with the dynamic programming method
• Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions
• The relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients
• Relationships between the maximum principle and dynamic programming for infinite dimensional stochastic control systems
• Connections between a system of forward-backward SDEs and backward stochastic PDEs related to the utility maximization problem

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