| STOCHASTIC MAXIMUM PRINCIPLE FOR STOCHASTIC RECURSIVE OPTIMAL CONTROL PROBLEM UNDER VOLATILITY AMBIGUITY | |
| Hu, Mingshang; Ji, Shaolin | |
| 刊名 | SIAM JOURNAL ON CONTROL AND OPTIMIZATION
 |
| 2016 | |
| 卷号 | 54期号:2页码:918-945 |
| 关键词 | backward stochastic differential equations volatility ambiguity G-expectation maximum principle robust control |
| DOI | 10.1137/15M1037639 |
| URL标识 | 查看原文 |
| 内容类型 | 期刊论文 |
| URI标识 | http://www.corc.org.cn/handle/1471x/4762423 |
| 专题 | 山东大学 |
| 作者单位 | Shandong Univ, Qilu Inst Finance, Jinan 250100, Peoples R China. |
| 推荐引用方式 GB/T 7714 | Hu, Mingshang,Ji, Shaolin. STOCHASTIC MAXIMUM PRINCIPLE FOR STOCHASTIC RECURSIVE OPTIMAL CONTROL PROBLEM UNDER VOLATILITY AMBIGUITY[J]. SIAM JOURNAL ON CONTROL AND OPTIMIZATION,2016,54(2):918-945. |
| APA | Hu, Mingshang,&Ji, Shaolin.(2016).STOCHASTIC MAXIMUM PRINCIPLE FOR STOCHASTIC RECURSIVE OPTIMAL CONTROL PROBLEM UNDER VOLATILITY AMBIGUITY.SIAM JOURNAL ON CONTROL AND OPTIMIZATION,54(2),918-945. |
| MLA | Hu, Mingshang,et al."STOCHASTIC MAXIMUM PRINCIPLE FOR STOCHASTIC RECURSIVE OPTIMAL CONTROL PROBLEM UNDER VOLATILITY AMBIGUITY".SIAM JOURNAL ON CONTROL AND OPTIMIZATION 54.2(2016):918-945. |
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