Work

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

Year: 2017

Type: article

Source: SIAM Journal on Control and Optimization

DOI: 10.1137/16m1064957

Authors: Tianyang Nie, Jingtao Shi, Zhen Wu

Institution: Shandong University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funders: Shandong University, National Natural Science Foundation of China, Natural Science Foundation of Shandong Province, Higher Education Discipline Innovation Project, Fundamental Research Fund of Shandong University, Natural Science Fund for Distinguished Young Scholars of Shandong Province, Distinguished Middle-Aged and Young Scientist Encourage and Reward Foundation of Shandong Province, Changjiang Scholar Program of Chinese Ministry of Education

Awards: G1272366887, G1474490597, G2388254744, G3644536134, G4253236736, G5175555519, G6514390344, G7611503662, G7642546210, G8063778145, G8743787414, G8979139846

OpenAlex ID: W2766094959

FWCI: 5.565

Cites: 29

Cited by: 22

Related to: 10