Maximum principle for stochastic recursive optimal control problem under model uncertainty

DOI10.1137/19M128795XMaRDI QIDQ5111072zbMATH OpenOpenAlexFDO

Authors Falei Wang, Mingshang Hu

Publication date 26 May 2020

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1909.03479

zbMATH Keywords

model uncertaintymaximum principlebackward stochastic differential equationsrobust control

Mathematics Subject Classification ID

Sensitivity (robustness) (93B35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial value problems for second-order parabolic equations (35K15) Optimal stochastic control (93E20)

Abstract: In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of backward stochastic differential equations. With the help of the linearization techniques and weak convergence methods, we derive the corresponding stochastic maximum principle. Moreover, a linear quadratic robust control problem is also studied.

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Cited in

(10)

• Properties for transposition solutions to operator-valued BSEEs, and applications to robust second order necessary conditions for controlled SEEs
• Maximum principle for mean-field SDEs under model uncertainty
• Robust optimal control of bi-objective non-homogeneous stochastic linear quadratic system with random coefficients
• Mean-field stochastic control problems under sublinear expectation
• A sufficient stochastic maximum principle for a kind of recursive optimal control problem with obstacle constraint
• Stochastic global maximum principle for optimization with recursive utilities
• Stochastic maximum principle for stochastic recursive optimal control problem under volatility ambiguity
• Robust pointwise second-order necessary conditions for singular stochastic optimal control with model uncertainty
• Optimal stochastic control problem under model uncertainty with nonentropy penalty
• Maximum principle of stochastic optimal control problems with model uncertainty

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