Relationship between maximum principle and dynamic programming for stochastic recursive optimal control problems and applications
zbMATH Open1296.93206MaRDI QIDQ459716FDOQ459716
Authors: Jingtao Shi, Zhiyong Yu 
Publication date: 13 October 2014
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
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Dynamic programming (90C39) Portfolio theory (91G10) Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
Cited In (19)
- Stochastic recursive optimal control problem with time delay and applications
- Near-maximum principle for general recursive utility optimal control problem
- Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming
- 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
- A dynamic maximum principle for the optimization of recursive utilities under constraints.
- Stochastic maximum principle, dynamic programming principle, and their relationship for fully coupled forward-backward stochastic controlled systems
- The relationship between the stochastic maximum principle and the dynamic programming in singular control of jump diffusions
- Relationship between maximum principle and dynamic programming for forward-backward stochastic differential game with Poisson jumps
- Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming
- Relationship between maximum principle and dynamic programming for stochastic differential games of jump diffusions
- Certain hypotheses in optimal control theory and the relationship of the maximum principle with the dynamic programming method
- Dynamic programming principle for stochastic recursive optimal control problem driven by a \(G\)-Brownian motion
- 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
- Recursive utility using the stochastic maximum principle
- Relationships between the maximum principle and dynamic programming for infinite dimensional stochastic control systems
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