Relationship between Maximum Principle and DynamicProgramming for Stochastic Recursive Optimal Control Problems and Applications

Abstract EN

This paper is concerned with the relationship between maximum principle anddynamic programming for stochastic recursive optimal control problems.

Under certain differentiability conditions, relations among the adjoint processes, the generalized Hamiltonianfunction, and the value function are given.

A linear quadratic recursive utility portfolio optimization problem in the financial engineering is discussed as an explicitly illustrated example ofthe main result.