Related papers: Stochastic maximum principle, dynamic programming …
In this paper, we study the relationship between general maximum principle and dynamic programming principle for risk-sensitive stochastic optimal control problems, where the control domain is not necessarily convex. The original problem is…
This paper is concerned with the relationship between general maximum principle and dynamic programming principle for the stochastic recursive optimal control problem with jumps, where the control domain is not necessarily convex. Relations…
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-…
In this paper, we study the relationship between maximum principle (MP) and dynamic programming principle (DPP) for stochastic recursive optimal control problem driven by $G$-Brownian motion. Under the smooth assumption for the value…
In this paper, we study the relationship between maximum principle (MP) and dynamic programming principle (DPP) for forward-backward control system under consistent convex expectation dominated by G-expectation. Under the smooth assumptions…
This paper deals with a stochastic recursive optimal control problem, where the diffusion coefficient depends on the control variable and the control domain is not necessarily convex. We focus on the connection between the general maximum…
This paper aims to explore the relationship between maximum principle and dynamic programming principle for stochastic recursive control problem with random coefficients. Under certain regular conditions for the coefficients, the…
This paper investigates the relationship between Pontryagin's maximum principle and dynamic programming principle in the context of stochastic optimal control systems governed by stochastic evolution equations with random coefficients in…
Since Peng (1993) established a local maximum principle for a general stochastic control problem governed by forward-backward stochastic differential equations (FBSDEs), the corresponding partial differential equation (PDE) characterization…
This paper aims to study the relationship between the maximum principle and the dynamic programming principle for recursive optimal control problem of stochastic evolution equations, where the control domain is not necessarily convex and…
The maximum principle for optimal control problems of fully coupled forward-backward doubly stochastic differential equations (FBDSDEs in short) in the global form is obtained, under the assumptions that the diffusion coefficients do not…
Pontryagin type maximum principle and Bellman's dynamic programming principle serve as two of the most important tools in solving optimal control problems. There is a huge literature on the study of relationship between them. The main…
This paper is concerned with the relationship between maximum principle and dynamic programming principle for risk-sensitive stochastic optimal control problems. Under the smooth assumption of the value function, relations among the adjoint…
We study a stochastic optimal control problem for fully coupled forward-backward stochastic control systems with a nonempty control domain. For our problem, the first-order and second-order variational equations are fully coupled linear…
In this paper we study stochastic optimal control problems of fully coupled forward-backward stochastic differential equations (FBSDEs). The recursive cost functionals are defined by controlled fully coupled FBSDEs. We study two cases of…
We construct an abstract framework in which the dynamic programming principle (DPP) can be readily proven. It encompasses a broad range of common stochastic control problems in the weak formulation, and deals with problems in the…
This paper examines the stochastic maximum principle (SMP) for a forward-backward stochastic control system where the backward state equation is characterized by the backward stochastic differential equation (BSDE) with quadratic growth and…
This paper develops a comprehensive framework for optimal control of systems governed by fractional backward stochastic evolution equations (FBSEEs) in Hilbert spaces. We first establish a stochastic maximum principle (SMP) as a necessary…
This paper build on our recent work where we presented a dual stochastic optimal control formulation of the nonlinear filtering problem [1]. The constraint for the dual problem is a backward stochastic differential equations (BSDE). The…
Hu et. al 2018 studied a stochastic optimal control problem for fully coupled forward-backward stochastic control systems with a nonempty control domain. By assuming a weakly coupled condition, they established an approach to obtain the…