Special Session 3: Modeling, Math Biology and Math Finance

Stochastic global maximum principle for optimization with recursive utilities

Mingshang Hu
Shandong University
Peoples Rep of China
Co-Author(s):    
Abstract:
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.