Maximum principle for forward-backward stochastic control system under G-expectation and relation to dynamic programming

DOI10.1016/J.CAM.2015.10.034MaRDI QIDQ898994zbMATH OpenOpenAlexFDO

Authors Zhongyang Sun

Publication date 21 December 2015

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2015.10.034

zbMATH Keywords

dynamic programming\(G\)-Brownian motion\(G\)-expectationportfolio optimizationrecursive utilitystochastic differential equationsstochastic maximum principlestochastic recursive optimal control

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) 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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Cites work

• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• scientific article; zbMATH DE number 1343080 (Why is no real title available?)
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• Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions
• Stochastic Differential Utility
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• Stochastic optimal control problems under G-expectation
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• The Maximum Principles for Stochastic Recursive Optimal Control Problems Under Partial Information
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Cited in

(7)

• Two-stage stochastic optimal control problem under \(G\)-expectation
• \(G\)-stochastic maximum principle for risk-sensitive control problem and its applications
• A stochastic recursive optimal control problem under the G-expectation framework
• A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications
• Forward-backward stochastic differential equations driven by \(G\)-Brownian motion
• Stochastic maximum principle for optimal control problem under G-expectation utility
• A stochastic maximum principle for processes driven by \(G\)-Brownian motion and applications to finance

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