3 papers
math.OC2026
Relationship between MP and DPP for Risk-Sensitive Stochastic Optimal Control Problems: Viscosity Solution Framework
Huanqing Dong, Jingtao Shi
In this paper, we study the relationship between general maximum principle and dynamic programming principle for risk-sensitive stochastic optimal control problems, where the contr…
math.OC2025
Relationship between Maximum Principle and Dynamic Programming Principle for Risk-Sensitive Stochastic Optimal Control Problems with Applications
Huanqing Dong, Jingtao Shi
This paper is concerned with the relationship between maximum principle and dynamic programming principle for risk-sensitive stochastic optimal control problems. Under the smooth a…
math.OC2024
Relationship between General MP and DPP for the Stochastic Recursive Optimal Control Problem With Jumps: Viscosity Solution Framework
Bin Wang, Jingtao Shi
This paper is concerned with the relationship between general maximum principle and dynamic programming principle for the stochastic recursive optimal control problem with jumps, w…