Stochastic global maximum principle for optimization with recursive utilities View Full Text


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Article Info

DATE

2017-12

AUTHORS

Mingshang Hu

ABSTRACT

In this paper, we study the recursive stochastic optimal control problems. The control domain does not need to be convex, and the generator of the backward stochastic differential equation can contain z. We obtain the variational equations for backward stochastic differential equations, and then obtain the maximum principle which solves completely Peng’s open problem. More... »

PAGES

1

References to SciGraph publications

  • 1999. Open Problems on Backward Stochastic Differential Equations in CONTROL OF DISTRIBUTED PARAMETER AND STOCHASTIC SYSTEMS
  • 1999. Stochastic Controls, Hamiltonian Systems and HJB Equations in NONE
  • 1993-03. Backward stochastic differential equations and applications to optimal control in APPLIED MATHEMATICS & OPTIMIZATION
  • Identifiers

    URI

    http://scigraph.springernature.com/pub.10.1186/s41546-017-0014-7

    DOI

    http://dx.doi.org/10.1186/s41546-017-0014-7

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    https://app.dimensions.ai/details/publication/pub.1083720146


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