J. T. Shi and Z. Wu, “Relationship between MP and DPP for the Optimal Control Problem of Jump Diffusions,” Applied Mathematics and Optimization, Vol. 63, No. 2, 2011, pp. 151-189.
http://dx.doi.org/10.1007/s00245-010-9115-8

has been cited by the following article:

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

  AUTHORS: Jingtao Shi

  KEYWORDS: Stochastic Optimal Control; Stochastic Differential Games; Dynamic Programming; Maximum Principle; Portfolio Optimization; Model Uncertainty

  JOURNAL NAME: American Journal of Operations Research, Vol.3 No.6, October 24, 2013

  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.