Work

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

Year: 2013

Type: article

Abstract: 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.

Source: Mathematical Problems in Engineering

DOI: 10.1155/2013/285241

Authors: Jingtao Shi, Zhiyong Yu

Institution: Shandong University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $2,550

Funders: National Natural Science Foundation of China, China Postdoctoral Science Foundation, Government of Shandong Province