Relationship between stochastic maximum principle and dynamic programming principle under convex expectation

DOI10.1007/S00245-025-10291-1MaRDI QIDQ6939736zbMATH OpenFDO

Authors Xiaojuan Li, Mingshang Hu

Publication date 21 August 2025

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

zbMATH Keywords

maximum principle\(G\)-expectationbackward stochastic differential equationdynamic programming principleconvex expectation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

This page was built for publication: Relationship between stochastic maximum principle and dynamic programming principle under convex expectation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6939736)