Direct Method on Stochastic Maximum Principle for Optimization with Recursive Utilities

Abstract

We obtain the variational equations for backward stochastic differential equations in recursive stochastic optimal control problems, and then get the maximum principle which is novel. The control domain need not be convex, and the generator of the backward stochastic differential equation can contain z.

19 pages

Cited by in corpus (2)

• Connection between MP and DPP for Stochastic Recursive Optimal Control Problems: Viscosity Solution Framework in General Case
• Stochastic maximum principle for stochastic recursive optimal control problem under volatility ambiguity