Stochastic global maximum principle for optimization with recursive utilities

Mingshang Hu

doi:10.1186/s41546-017-0014-7

Article Contents

2017, Volume 2: 1. Doi: 10.1186/s41546-017-0014-7

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Stochastic global maximum principle for optimization with recursive utilities

Mingshang Hu^,

Zhongtai Institute of Finance, Shandong University, Jinan, Shandong 250100, People's Republic of China

Mingshang Hu, humingshang@sdu.edu.cn

Received: September 19, 2016

Revised: January 5, 2017

Published online: March 2017

supported by NSF (No. 11671231, 11201262 and 10921101), Shandong Province (No.BS2013SF020 and ZR2014AP005), Young Scholars Program of Shandong University and the 111 Project (No. B12023).

Abstract / Introduction Related Papers Cited by

Abstract

In this paper, we study the recursive stochastic optimal control problems. The control domain does not need to be convex, and the generator of the backward stochastic differential equation can contain z. We obtain the variational equations for backward stochastic differential equations, and then obtain the maximum principle which solves completely Peng's open problem.

Keywords:

Backward stochastic differential equations,
Recursive stochastic optimal control,
Maximum principle,
Variational equation.

Mathematics Subject Classification: 93E20;60H10;49K45.

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