Relationship between Maximum Principle and Dynamic Programming in Stochastic Differential Games and Applications

• 作者: Jingtao Shi
• 来源期刊: 美国运筹学期刊(英文)
• 学科: 数学
• 关键词: STOCHASTIC Optimal Control STOCHASTIC Differential GAMES Dynamic PROGRAMMING MAXIMUM PRINCIPLE PORTFOLIO Optimization Model Uncertainty
• 年，卷（期）: mgycxqkyw_2013,（6）
• 页码范围: 445-453
• 页数: 9页
• 分类号: O22

摘要

This paper is concerned with the relationship between maximum principle and dynamic programming in zero-sum stochastic differential games. Under the assumption that the value function is enough smooth, relations among the adjoint processes, the generalized Hamiltonian function and the value function are given. A portfolio optimization problem under model uncertainty in the financial market is discussed to show the applications of our result.