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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.