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Stochastic Maximum Principle for Stochastic Recursive Optimal Control Problem Under Volatility Ambiguity.
Mingshang Hu
Shaolin Ji
Published in:
SIAM J. Control. Optim. (2016)
Keyphrases
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optimal control
optimal control problems
brownian motion
control problems
dynamic programming
stochastic control
stock price
solving nonlinear
real time
linear programming
control strategy
infinite horizon
risk sensitive
class of nonlinear systems