American Journal of Operations Research

Volume 3, Issue 6 (November 2013)

ISSN Print: 2160-8830   ISSN Online: 2160-8849

Google-based Impact Factor: 0.84  Citations  

Relationship between Maximum Principle and Dynamic Programming in Stochastic Differential Games and Applications

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DOI: 10.4236/ajor.2013.36043    6,025 Downloads   9,825 Views  Citations
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ABSTRACT

This paper is concerned with the relationship between maximum principle and dynamic programming in zero-sum stochastic differential games. Under the assumption that the value function is enough smooth, relations among the adjoint processes, the generalized Hamiltonian function and the value function are given. A portfolio optimization problem under model uncertainty in the financial market is discussed to show the applications of our result.

Share and Cite:

J. Shi, "Relationship between Maximum Principle and Dynamic Programming in Stochastic Differential Games and Applications," American Journal of Operations Research, Vol. 3 No. 6, 2013, pp. 445-453. doi: 10.4236/ajor.2013.36043.

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