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• W3136202090 abstract "Based on the stochastic maximum principle for the partially coupled forward-backward stochastic control system (FBSCS), a modified method of successive approximations (MSA) is established for stochastic recursive optimal control problems. The second-order adjoint processes are introduced in the augmented Hamiltonian minimization step since the control domain is not necessarily convex. Thanks to the theory of bounded mean oscillation martingales, we give a delicate proof of the error estimate and then prove the convergence of the modified MSA algorithm. In a special case, we obtain a logarithmic convergence rate. When the control domain is convex and compact, a sufficient condition which makes the control returned from the MSA algorithm be a near-optimal control is given for a class of linear FBSCSs." @default.
• W3136202090 created "2021-03-29" @default.
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• W3136202090 date "2022-09-13" @default.
• W3136202090 modified "2023-10-11" @default.
• W3136202090 title "A Modified Method of Successive Approximations for Stochastic Recursive Optimal Control Problems" @default.
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• W3136202090 doi "https://doi.org/10.1137/21m1418204" @default.
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