Direct Method on Stochastic Maximum Principle for Optimization with Recursive Utilities
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🧮 math.OC
math.PR
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stochasticbackwardcontroldifferentialequationsmaximumprinciplerecursive
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We obtain the variational equations for backward stochastic differential equations in recursive stochastic optimal control problems, and then get the maximum principle which is novel. The control domain need not be convex, and the generator of the backward stochastic differential equation can contain z.
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