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Maximum principle for stochastic recursive optimal control problem under model uncertainty

arXiv 1909.03479 ↗First posted 8 Sep 2019math.PR math.OCcited by 1

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Abstract (arXiv)

In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of backward stochastic differential equations. With the help of the linearization techniques and weak convergence methods, we derive the corresponding stochastic maximum principle. Moreover, a linear quadratic robust control problem is also studied.

Key facts. Cited by 1 paper in the map (data through 14 Oct 2026). First posted on arXiv 8 Sep 2019.

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