Title :
The relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems and applications to finance
Author_Institution :
Sch. of Math., Shandong Univ., Jinan, China
Abstract :
This paper is concerned with the relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problems. Under the assumption that the value function is enough smooth, we give relations among the adjoint processes, the generalized Hamiltonian function and the value function. An LQ recursive utility portfolio optimization problem in the financial market is discussed to show the applications of our result.
Keywords :
dynamic programming; maximum principle; stochastic systems; LQ recursive utility portfolio optimization problem; dynamic programming principle; finance; financial market; generalized Hamiltonian function; maximum principle; stochastic recursive optimal control problem; value function; Differential equations; Equations; Optimal control; Optimization; Portfolios; Security; State feedback; Backward Stochastic Differential Equation; Dynamic Programming Principle; Maximum Principle; Portfolio Optimization; Recursive Optimal Control;
Conference_Titel :
Control Conference (CCC), 2010 29th Chinese
Conference_Location :
Beijing
Print_ISBN :
978-1-4244-6263-6