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arXiv · 1909.03479

Maximum principle for stochastic recursive optimal control problem under model uncertainty

Mingshang Hu·Falei Wang
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Abstract

In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of backward stochastic differential equations. With the help of the linearization techniques and weak convergence methods, we derive the corresponding stochastic maximum principle. Moreover, a linear quadratic robust control problem is also studied.

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Mingshang Hu, Falei Wang. 2019-09-08. Maximum principle for stochastic recursive optimal control problem under model uncertainty. https://arxiv.org/abs/1909.03479

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