# Maximum principle for stochastic recursive optimal control problem under model uncertainty

arXiv: https://arxiv.org/abs/1909.03479 · HTML: https://mlsanity.com/paper/1909.03479/

## Key facts

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

## Built on by (most cited first, 1 of 1)

- [Reinforcement Learning Framework For Stochastic Optimal Control Problem Under Model Uncertainty](https://mlsanity.com/paper/2511.06881/) (2025)

## 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.