Relationship between maximum principle and dynamic programming for stochastic recursive optimal control problems and applications

MaRDI QIDQ459716zbMATH OpenFDO

Authors Jingtao Shi, Zhiyong Yu

Publication date 13 October 2014

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Mathematics Subject Classification ID

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)

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Cited in

(19)

• Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions
• Relationships between the maximum principle and dynamic programming for infinite dimensional stochastic control systems
• Relationship between maximum principle and dynamic programming for stochastic differential games of jump diffusions
• Near-maximum principle for general recursive utility optimal control problem
• Stochastic maximum principle, dynamic programming principle, and their relationship for fully coupled forward-backward stochastic controlled systems
• The relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients
• 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
• Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problem under volatility uncertainty
• A dynamic maximum principle for the optimization of recursive utilities under constraints.
• Dynamic programming principle for stochastic recursive optimal control problem driven by a \(G\)-Brownian motion
• Recursive utility using the stochastic maximum principle
• The connection between DPP and MP for the fully coupled forward-backward stochastic control systems
• Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming
• Stochastic recursive optimal control problem with time delay and applications
• Connection between MP and DPP for stochastic recursive optimal control problems: viscosity solution framework in the general case
• Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming
• Certain hypotheses in optimal control theory and the relationship of the maximum principle with the dynamic programming method
• On the relationship between the stochastic maximum principle and dynamic programming in singular stochastic control

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