标题:Relationship between Maximum Principle and Dynamic Programming for Stochastic Recursive Optimal Control Problems and Applications
作者:Shi, Jingtao; Yu, Zhiyong
作者机构:[Shi, Jingtao; Yu, Zhiyong] Shandong Univ, Sch Math, Jinan 250100, Peoples R China.
通讯作者:Shi, JT
通讯作者地址:[Shi, JT]Shandong Univ, Sch Math, Jinan 250100, Peoples R China.
来源:MATHEMATICAL PROBLEMS IN ENGINEERING
出版年:2013
DOI:10.1155/2013/285241
摘要:This paper is concerned with the relationship between maximum principle and dynamic programming for stochastic recursive optimal control problems. Under certain differentiability conditions, relations among the adjoint processes, the generalized Hamiltonian function, and the value function are given. A linear quadratic recursive utility portfolio optimization problem in the financial engineering is discussed as an explicitly illustrated example of the main result.
收录类别:SCIE
WOS核心被引频次:5
资源类型:期刊论文
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