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

DOI10.1080/17442509008833645MaRDI QIDQ3496274zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(23)

• Maximum principle, dynamic programming and their connection in deterministic control
• Remarks on optimal controls of stochastic partial differential equations
• Optimal control of diffusions: A verification theorem for viscosity solutions
• Characterization of optimality for controlled diffusion processes
• Certain hypotheses in optimal control theory and the relationship of the maximum principle with the dynamic programming method
• Connections between a system of forward-backward SDEs and backward stochastic PDEs related to the utility maximization problem
• Relationships between the maximum principle and dynamic programming for infinite dimensional stochastic control systems
• Stochastic maximum principle for stochastic recursive optimal control problem under volatility ambiguity
• The connection between DPP and MP for the fully coupled forward-backward stochastic control systems
• scientific article; zbMATH DE number 29129 (Why is no real title available?)
• On consistent regularities of control and value functions
• First and second order necessary conditions for stochastic optimal control problems
• Connection between MP and DPP for stochastic recursive optimal control problems: viscosity solution framework in the general case
• Relationship between maximum principle and dynamic programming for stochastic recursive optimal control problems and applications
• 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
• Relationship between MP and DPP for the stochastic optimal control problem of jump diffusions
• Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions
• Stochastic maximum principle, dynamic programming principle, and their relationship for fully coupled forward-backward stochastic controlled systems
• Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problem under volatility uncertainty
• The relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients
• Relationship between general MP and DPP for the stochastic recursive optimal control problem with jumps
• A stochastic maximum principle for relaxed control with general risk measure and its application in finance

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