Connection between MP and DPP for Stochastic Recursive Optimal Control Problems: Viscosity Solution Framework in Local Case
Optimization and Control
2016-03-09 v1
Abstract
This paper deals with a nonsmooth version of the connection between the maximum principle and dynamic programming principle, for the stochastic recursive control problem when the control domain is convex. By employing the notions of sub- and super-jets, the set inclusions are derived among the value function and the adjoint processes. The general case for non-convex control domain is open.
Cite
@article{arxiv.1603.02596,
title = {Connection between MP and DPP for Stochastic Recursive Optimal Control Problems: Viscosity Solution Framework in Local Case},
author = {Tianyang Nie and Jingtao Shi and Zhen Wu},
journal= {arXiv preprint arXiv:1603.02596},
year = {2016}
}
Comments
Accepted by 2016 American Control Conference, July 6-8, Boston, USA, 2016