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.