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math.OC2025
Relationships Between the Maximum Principle and Dynamic Programming for Infinite Dimensional Non-Markovian Stochastic Control Systems
Dingqian Gao, Qi Lü
This paper investigates the relationship between Pontryagin's maximum principle and dynamic programming principle in the context of stochastic optimal control systems governed by s…
math.OC2025
Dynamic Programming Principle for Stochastic Control Problems on Riemannian Manifolds
Dingqian Gao, Qi Lü
In this paper, we first establish the dynamic programming principle for stochastic optimal control problems defined on compact Riemannian manifolds without boundary. Subsequently,…