Stochastic global maximum principle for optimization with recursive utilities  

作　　者：Mingshang Hu 

机构地区：[1]Zhongtai Institute of Finance,Shandong University,Jinan,Shandong 250100,People’s Republic of China

出　　处：《Probability, Uncertainty and Quantitative Risk》2017年第1期1-20,共20页概率、不确定性与定量风险（英文）

基　　金：Research supported by NSF(No.11671231,11201262 and 10921101);Shandong Province(No.BS2013SF020 and ZR2014AP005);Young Scholars Program of Shandong University and the 111 Project(No.B12023).

摘　　要：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.

关 键 词：Backward stochastic differential equations Recursive stochastic optimal control Maximum principle Variational equation 

分 类 号：O17[理学—数学]