SIAM Journal on Control and Optimization, Vol.58, No.3, 1341-1370, 2020
MAXIMUM PRINCIPLE FOR STOCHASTIC RECURSIVE OPTIMAL CONTROL PROBLEM UNDER MODEL UNCERTAINTY
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 uncertainty parameter theta, which is used to represent different market conditions. With the help of linearization techniques and weak convergence methods, we derive the corresponding stochastic maximum principle. Moreover, a linear quadratic robust control problem is also studied.
Keywords:backward stochastic differential equations;maximum principle;model uncertainty;robust control