Relationship between stochastic maximum principle and dynamic programming principle under convex expectation

Xiaojuan Li; Mingshang Hu

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arXiv · 2409.10987

Relationship between stochastic maximum principle and dynamic programming principle under convex expectation

Xiaojuan Li·Mingshang Hu

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Abstract

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.

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Xiaojuan Li, Mingshang Hu. 2024-09-17. Relationship between stochastic maximum principle and dynamic programming principle under convex expectation. https://arxiv.org/abs/2409.10987

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