Relationship between MP and DPP for stochastic recursive optimal control problem under volatility uncertainty

Xiaojuan Li

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arXiv · 2210.05213

Relationship between MP and DPP for stochastic recursive optimal control problem under volatility uncertainty

Xiaojuan Li

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Abstract

In this paper, we study the relationship between maximum principle (MP) and dynamic programming principle (DPP) for stochastic recursive optimal control problem driven by $G$-Brownian motion. Under the smooth assumption for the value function, we obtain the connection between MP and DPP under a reference probability $P_{t,x}^{\ast}$. Within the framework of viscosity solution, we establish the relation between the first-order super-jet, sub-jet of the value function and the solution to the adjoint equation respectively.

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BibTeX RIS

Xiaojuan Li. 2022-10-11. Relationship between MP and DPP for stochastic recursive optimal control problem under volatility uncertainty. https://arxiv.org/abs/2210.05213

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