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math.OC2024
Relationship between stochastic maximum principle and dynamic programming principle under convex expectation
Xiaojuan Li, Mingshang Hu
In this paper, we study the relationship between maximum principle (MP) and dynamic programming principle (DPP) for forward-backward control system under consistent convex expectat…
math.OC2024
Maximum principle for stochastic optimal control problem under convex expectation
Xiaojuan Li, Mingshang Hu
In this paper, we study a stochastic optimal control problem under a type of consistent convex expectation dominated by G-expectation. By the separation theorem for convex sets, we…