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Relationship between Maximum Principle and Dynamic Programming for Stochastic Recursive Optimal Control Problems and Applications

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  • Jingtao Shi
  • Zhiyong Yu

Abstract

This paper is concerned with the relationship between maximum principle and dynamic programming for stochastic recursive optimal control problems. Under certain differentiability conditions, relations among the adjoint processes, the generalized Hamiltonian function, and the value function are given. A linear quadratic recursive utility portfolio optimization problem in the financial engineering is discussed as an explicitly illustrated example of the main result.

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  • Jingtao Shi & Zhiyong Yu, 2013. "Relationship between Maximum Principle and Dynamic Programming for Stochastic Recursive Optimal Control Problems and Applications," Mathematical Problems in Engineering, Hindawi, vol. 2013, pages 1-12, February.
    • Handle: RePEc:hin:jnlmpe:285241
    DOI: 10.1155/2013/285241
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