相关论文: Relationship between General MP and DPP for the St…

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 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 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…

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…

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…

Within the framework of viscosity solution, we study the relationship between the maximum principle (MP) in [9] and the dynamic programming principle (DPP) in [10] for a fully coupled forward-backward stochastic controlled system (FBSCS)…

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 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…

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 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…

This paper is concerned with the stochastic recursive optimal control problem with mixed delay. The connection between Pontryagin's maximum principle and Bellman's dynamic programming principle is discussed. Without containing any…

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…

In this paper we investigate a kind of optimal control problem of coupled forward-backward stochastic system with jumps whose cost functional is defined through a coupled forward-backward stochastic differential equation with Brownian…

This paper is concerned with the maximum principle and dynamic programming principle for mean-variance portfolio selection of jump diffusions and their relationship. First, the optimal portfolio and efficient frontier of the problem are…

Given a Brownian motion $W$ and a stationary Poisson point process $p$ with values in ${\mathbb R}^d$, we prove a Dynamic Programming Principle (DPP) in a strong formulation for a stochastic control problem involving controlled SDEs of the…

This paper is concerned with a general maximum principle for the fully coupled forward-backward stochastic optimal control problem with jumps, where the control domain is not necessarily convex, within the progressively measurable…

We analyze an optimal stopping problem with a constraint on the expected cost. When the reward function and cost function are Lipschitz continuous in state variable, we show that the value of such an optimal stopping problem is a continuous…

In this paper, we study one kind of stochastic recursive optimal control problem with the obstacle constraints for the cost function where the cost function is described by the solution of one reflected backward stochastic differential…

This paper studies the stochastic optimal control of jump-diffusion processes and the associated fully nonlinear backward stochastic Hamilton--Jacobi--Bellman (BSHJB) equations. We establish the dynamic programming principle (DPP) via…