The relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients

DOI10.1051/COCV/2024078MaRDI QIDQ6652886FDOQ6652886

Authors: Yuchao Dong, Qingxin Meng, Qi Zhang 

Publication date: 13 December 2024

Published in: European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations (Search for Journal in Brave)

zbMATH Keywords

maximum principlebackward stochastic partial differential equationstochastic recursive controldynamic programming principlerandom coefficient

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)

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