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math.OC2026
Stochastic recursive optimal control problem with monotonicity conditions under G-framework
Wei He, Qiangjun Tang
In this paper, we study the stochastic recursive optimal control problem under non-Lipschitz settings. More precisely, we suppose that the generator of G-BSDE describing the runnin…
math.OC2025
Maximum principle for discrete-time robust stochastic optimal control problem
Wei He
This paper firstly presents the necessary and sufficient conditions for a kind of discrete-time robust stochastic optimal control problem with convex control domains. As it is an "…