Maximum principle for stochastic recursive optimal control problem under model uncertainty
Probability
2020-04-16 v2 Optimization and Control
Abstract
In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of backward stochastic differential equations. With the help of the linearization techniques and weak convergence methods, we derive the corresponding stochastic maximum principle. Moreover, a linear quadratic robust control problem is also studied.
Cite
@article{arxiv.1909.03479,
title = {Maximum principle for stochastic recursive optimal control problem under model uncertainty},
author = {Mingshang Hu and Falei Wang},
journal= {arXiv preprint arXiv:1909.03479},
year = {2020}
}
Comments
28 pages