Relationship between stochastic maximum principle and dynamic programming principle under convex expectation
| Autor: | Li, Xiaojuan, Hu, Mingshang |
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| Rok vydání: | 2024 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | In this paper, we study the relationship between maximum principle (MP) and dynamic programming principle (DPP) for forward-backward control system under consistent convex expectation dominated by G-expectation. Under the smooth assumptions for the value function, we get the relationship between MP and DPP under a reference probability by establishing a useful estimate. If the value function is not smooth, then we obtain the first-order sub-jet and super-jet of the value function at any t. However, the processing method in this case is much more difficult than that when t equals 0. Comment: 19 pages |
| Databáze: | arXiv |
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