Connection between MP and DPP for Stochastic Recursive Optimal Control Problems: Viscosity Solution Framework in Local Case

2016/03/07 by Tianyang Nie, Nie, Tianyang, Jingtao Shi +4
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #Climate Change Policy and Economics #Economic theories and models #Risk and Portfolio Optimization #math.OC #msc:60H10 #msc:93E20

paper · pdf · doi:10.48550/arxiv.1603.02596

Accepted by 2016 American Control Conference, July 6-8, Boston, USA, 2016

arxiv created 2016/03/07 · arxiv updated 2016/03/09

Abstract

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 control domain is convex. By employing the notions of sub- and super-jets, the set inclusions are derived among the value function and the adjoint processes. The general case for non-convex control domain is open.

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