Relationship between Maximum Principle and Dynamic Programming Principle for Risk-Sensitive Stochastic Optimal Control Problems with Applications
Fuente:
arXiv
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| Autori principali: | , |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| _version_ | 1866912472869371904 |
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| author | Dong, Huanqing Shi, Jingtao |
| author_facet | Dong, Huanqing Shi, Jingtao |
| contents | This paper is concerned with the relationship between maximum principle and dynamic programming principle for risk-sensitive stochastic optimal control problems. Under the smooth assumption of the value function, relations among the adjoint processes, the generalized Hamiltonian function, and the value function are given. As an application, a linear-quadratic risk-sensitive portfolio optimization problem in the financial market is discussed. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2507_06504 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Relationship between Maximum Principle and Dynamic Programming Principle for Risk-Sensitive Stochastic Optimal Control Problems with Applications Dong, Huanqing Shi, Jingtao Optimization and Control 93E20, 60H10, 49N10, 35K15 This paper is concerned with the relationship between maximum principle and dynamic programming principle for risk-sensitive stochastic optimal control problems. Under the smooth assumption of the value function, relations among the adjoint processes, the generalized Hamiltonian function, and the value function are given. As an application, a linear-quadratic risk-sensitive portfolio optimization problem in the financial market is discussed. |
| title | Relationship between Maximum Principle and Dynamic Programming Principle for Risk-Sensitive Stochastic Optimal Control Problems with Applications |
| topic | Optimization and Control 93E20, 60H10, 49N10, 35K15 |
| url | https://arxiv.org/abs/2507.06504 |