Relationship between MP and DPP for stochastic recursive optimal control problem under volatility uncertainty
Year: 2022
Type: preprint
Abstract: In this paper, we study the relationship between maximum principle (MP) and dynamic programming principle (DPP) for stochastic recursive optimal control problem driven by $G$-Brownian motion. Under the smooth assumption for the value function, we obtain the connection between MP and DPP under a reference probability $P_{t,x}^{\ast}$. Within the framework of viscosity solution, we establish the relation between the first-order super-jet, sub-jet of the value function and the solution to the adjoint equation respectively.
Source: arXiv (Cornell University)
Author: Li, Xiaojuan
Institution: Shandong University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
Funder: National Science Foundation
Award: G4791492856
OpenAlex ID: W4305014654