Relationship between Maximum Principle and Dynamic Programming for Stochastic Recursive Optimal Control Problems and Applications

Jingtao Shi; Zhiyong Yu

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Relationship between Maximum Principle and Dynamic Programming for Stochastic Recursive Optimal Control Problems and Applications

机译：随机递归最优控制问题的最大原理与动态规划的关系及应用

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This paper is concerned with the relationship between maximum principle and dynamic programming for stochastic recursive optimal control problems. Under certain differentiability conditions, relations among the adjoint processes, the generalized Hamiltonian function, and the value function are given. A linear quadratic recursive utility portfolio optimization problem in the financial engineering is discussed as an explicitly illustrated example of the main result.

机译：本文关注随机递归最优控制问题的最大原理与动态规划之间的关系。在一定的可微性条件下，给出了伴随过程，广义哈密顿函数和值函数之间的关系。讨论了金融工程中的线性二次递归效用组合优化问题，作为主要结果的明确示例。

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来源
《Mathematical Problems in Engineering》 |2013年第1期|285241.1-285241.12|共12页
作者
Jingtao Shi; Zhiyong Yu;
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作者单位

School of Mathematics, Shandong University, Jinan 250100, China;

School of Mathematics, Shandong University, Jinan 250100, China;

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正文语种 eng
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专利

1. Relationship between Maximum Principle and DynamicProgramming for Stochastic Recursive Optimal Control Problems and Applications [J] . JingtaoShi, ZhiyongYu Mathematical Problems in Engineering: Theory, Methods and Applications . 2013,第6期

机译：随机递归最优控制问题的最大原理与动态规划的关系及应用
2. Relationship between Maximum Principle and DynamicProgramming for Stochastic Recursive Optimal Control Problems and Applications [J] . JingtaoShi, ZhiyongYu Mathematical Problems in Engineering: Theory, Methods and Applications . 2013,第2期

机译：随机递归最优控制问题的最大原理与动态规划的关系及应用
3. Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems of jump diffusions [J] . Jingtao Shi Optimal Control Applications and Methods . 2014,第1期

机译：跳扩散随机递归最优控制问题的最大原理与动态规划原理之间的关系
4. The Relationship between Maximum Principle and Dynamic Programming Principle for Stochastic Recursive Optimal Control Problems and Applications to Finance [C] . SHI Jingtao Proceedings of the 29th Chinese Control Conference . 2010

机译：随机递归最优控制问题的最大原理和动态规划原理之间的关系及其在金融中的应用
5. On Numerical Stochastic Optimal Control via Bellman's Dynamic Programming Principle [D] . Aboagye, Prince Osei. 2018

机译：通过Bellman动态规划原理的数值随机最佳控制
6. Generalized principles of stochasticity can be used to control dynamic heterogeneity [O] . David Liao, Luis Estévez-Salmerón, Thea D. Tlsty -1

机译：透明性旋能性原理可用于控制动态异质性
7. Dynamic programming principle for one kind of stochastic recursive optimal control problem and Hamilton-Jacobi-Bellman equations [O] . Wu, Zhen, Yu, Zhiyong 2007

机译：一类随机递归的动态规划原理最优控制问题和Hamilton-Jacobi-Bellman方程

Relationship between Maximum Principle and Dynamic Programming for Stochastic Recursive Optimal Control Problems and Applications

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