Maximum principle for stochastic recursive optimal control problem under model uncertainty

DOI10.1137/19M128795XzbMATH Open1441.93340arXiv1909.03479OpenAlexW3027033463MaRDI QIDQ5111072FDOQ5111072

Mingshang Hu, Falei Wang

Publication date: 26 May 2020

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

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.

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

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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)

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Cited In (3)

• Maximum principle for mean-field SDEs under model uncertainty
• 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

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