arXiv subjects

Huanqing Dong

Publications and source records attributed to Huanqing Dong.

2 recordsLinked to original sources

arXiv2026

Relationship between MP and DPP for Risk-Sensitive Stochastic Optimal Control Problems: Viscosity Solution Framework

In this paper, we study the relationship between general maximum principle and dynamic programming principle for risk-sensitive stochastic optimal control problems, where the control domain is not necessarily convex. The original problem is equivalent to a stochastic recursive optimal control problem of a forward-backward system with quadratic generators. Relations among the adjoint processes, the generalized Hamiltonian function and the value function are proved under the framework of viscosity solutions. Some examples are given to illustrate the theoretical results.

math.OC↗

arXiv2025

Relationship between Maximum Principle and Dynamic Programming Principle for Risk-Sensitive Stochastic Optimal Control Problems with Applications

This paper is concerned with the relationship between maximum principle and dynamic programming principle for risk-sensitive stochastic optimal control problems. Under the smooth assumption of the value function, relations among the adjoint processes, the generalized Hamiltonian function, and the value function are given. As an application, a linear-quadratic risk-sensitive portfolio optimization problem in the financial market is discussed.

math.OC↗