The relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients
type: Item
instance of: scholarly article
title: The relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients
author: Yuchao Dong
author: Qingxin Meng
author: Qi Zhang
published in: European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
publication date: 2024-12-13T00:00:00Z
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 49K45
Mathematics Subject Classification ID: 49L20
zbMATH DE Number: 7958175
zbMATH Keywords: maximum principle
zbMATH Keywords: dynamic programming principle
zbMATH Keywords: random coefficient
zbMATH Keywords: stochastic recursive control
zbMATH Keywords: backward stochastic partial differential equation
MaRDI profile type: MaRDI publication profile
cites work: Q3285814
cites work: The Pontryagin Maximum Principle From Dynamic Programming and Viscosity Solutions to First-Order Partial Differential Equations
cites work: An Introductory Approach to Duality in Optimal Stochastic Control
cites work: Q4742672
cites work: The connection between the maximum principle and dynamic programming in stochastic control
cites work: Q3986626
cites work: Relationships between the maximum principle and dynamic programming for infinite dimensional stochastic control systems
cites work: Q4255599
cites work: Semi-linear degenerate backward stochastic partial differential equations and associated forward-backward stochastic differential equations
cites work: On semi-linear degenerate backward stochastic partial differential equations
cites work: Adapted solution of a degenerate backward SPDE, with applications
cites work: Semi-linear systems of backward stochastic partial differential equations in \(\mathbb{R}^n\)
cites work: A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
cites work: Stochastic Differential Utility
cites work: Backward stochastic differential equations and applications to optimal control
cites work: A general maximum principle for optimal control of forward-backward stochastic systems
cites work: Optimality Variational Principle for Controlled Forward-Backward Stochastic Differential Equations with Mixed Initial-Terminal Conditions
cites work: Stochastic global maximum principle for optimization with recursive utilities
cites work: Open problems on backward stochastic differential equations
cites work: Relationship between maximum principle and dynamic programming for stochastic recursive optimal control problems and applications
cites work: Connection between MP and DPP for Stochastic Recursive Optimal Control Problems: Viscosity Solution Framework in the General Case
cites work: General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
cites work: Dynamic Programming for General Linear Quadratic Optimal Stochastic Control with Random Coefficients
cites work: Weak solution for a class of fully nonlinear stochastic Hamilton-Jacobi-Bellman equations
cites work: Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations
cites work: Backward Stochastic Riccati Equation with Jumps Associated with Stochastic Linear Quadratic Optimal Control with Jumps and Random Coefficients
cites work: \(L^p\) solutions of backward stochastic differential equations.
cites work: Optimal controls of stochastic differential equations with jumps and random coefficients: stochastic Hamilton-Jacobi-Bellman equations with jumps
cites work: A variational formula for stochastic controls and some applications
DOI: 10.1051/COCV/2024078
description: scientific article; zbMATH DE number 7958175