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

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

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...

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Main Authors: Jingtao Shi, Zhiyong Yu
Format: Article
Language:English
Published: Hindawi Limited 2013-01-01
Series:Mathematical Problems in Engineering
Online Access:http://dx.doi.org/10.1155/2013/285241
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spelling doaj-4089727a1f924f2eaf696db4c9ef99fa2020-11-24T22:45:34ZengHindawi LimitedMathematical Problems in Engineering1024-123X1563-51472013-01-01201310.1155/2013/285241285241Relationship between Maximum Principle and Dynamic Programming for Stochastic Recursive Optimal Control Problems and ApplicationsJingtao Shi0Zhiyong Yu1School of Mathematics, Shandong University, Jinan 250100, ChinaSchool of Mathematics, Shandong University, Jinan 250100, ChinaThis 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.http://dx.doi.org/10.1155/2013/285241
collection DOAJ
language English
format Article
sources DOAJ
author Jingtao Shi
Zhiyong Yu
spellingShingle Jingtao Shi
Zhiyong Yu
Relationship between Maximum Principle and Dynamic Programming for Stochastic Recursive Optimal Control Problems and Applications
Mathematical Problems in Engineering
author_facet Jingtao Shi
Zhiyong Yu
author_sort Jingtao Shi
title Relationship between Maximum Principle and Dynamic Programming for Stochastic Recursive Optimal Control Problems and Applications
title_short Relationship between Maximum Principle and Dynamic Programming for Stochastic Recursive Optimal Control Problems and Applications
title_full Relationship between Maximum Principle and Dynamic Programming for Stochastic Recursive Optimal Control Problems and Applications
title_fullStr Relationship between Maximum Principle and Dynamic Programming for Stochastic Recursive Optimal Control Problems and Applications
title_full_unstemmed Relationship between Maximum Principle and Dynamic Programming for Stochastic Recursive Optimal Control Problems and Applications
title_sort relationship between maximum principle and dynamic programming for stochastic recursive optimal control problems and applications
publisher Hindawi Limited
series Mathematical Problems in Engineering
issn 1024-123X
1563-5147
publishDate 2013-01-01
description 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.
url http://dx.doi.org/10.1155/2013/285241
work_keys_str_mv AT jingtaoshi relationshipbetweenmaximumprincipleanddynamicprogrammingforstochasticrecursiveoptimalcontrolproblemsandapplications
AT zhiyongyu relationshipbetweenmaximumprincipleanddynamicprogrammingforstochasticrecursiveoptimalcontrolproblemsandapplications
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