Stochastic global maximum principle for optimization with recursive utilities
Work
Year: 2017
Type: article
Abstract: In this paper, we study the recursive stochastic optimal control problems. The control domain does not need to be convex, and the generator of the backward stochastic differential equation can contain... more
Author Mingshang Hu
Institution Shandong University of Finance and Economics
Cites: 21
Cited by: 72
Related to: 10
FWCI: 12.3
Citation percentile (by year/subfield): 99.99
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
Grant ID ZR2014AP005, BS2013SF020