Maximum principle for forward-backward stochastic control system under G-expectation and relation to dynamic programming
DOI10.1016/J.CAM.2015.10.034zbMATH Open1335.93146OpenAlexW2185023044MaRDI QIDQ898994FDOQ898994
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
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dynamic programming\(G\)-Brownian motion\(G\)-expectationportfolio optimizationrecursive utilitystochastic differential equationsstochastic maximum principlestochastic recursive optimal control
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)
Cites Work
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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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