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math.OC2016
Connection between MP and DPP for Stochastic Recursive Optimal Control Problems: Viscosity Solution Framework in Local Case
Tianyang Nie, Jingtao Shi, Zhen Wu
This paper deals with a nonsmooth version of the connection between the maximum principle and dynamic programming principle, for the stochastic recursive control problem when the c…
math.OC2016★ 2 cited
Connection between MP and DPP for Stochastic Recursive Optimal Control Problems: Viscosity Solution Framework in General Case
Tianyang Nie, Jingtao Shi, Zhen Wu
This paper deals with a stochastic recursive optimal control problem, where the diffusion coefficient depends on the control variable and the control domain is not necessarily conv…