Maximum principle for stochastic recursive optimal control problem under model uncertainty
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Publication:5111072
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
(5)- 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
- Stochastic maximum principle for stochastic recursive optimal control problem under volatility ambiguity
- Optimal stochastic control problem under model uncertainty with nonentropy penalty
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