Open AccessMathematics
DOI: 10.1186/s41546-017-0014-7

Abstract

In this paper, we study the recursive stochastic optimal control problems. The control domain does not need to be convex, and the generator of the backward stochastic differential equation can contain z. We obtain the variational equations for backward stochastic differential equations, and then obtain the maximum principle which solves completely Peng’s open problem.

Citation format

HU, Mingshang. Stochastic global maximum principle for optimization with recursive utilities. Probability, Uncertainty and Quantitative Risk, 2017, 2: 1–20.