摘要
In this paper,we study the recursive stochastic optimal control problems.The control domain does not need to be convex,and the generator of the backward stochastic differential equation can contain z.We obtain the variational equations for backward stochastic differential equations,and then obtain the maximum principle which solves completely Peng’s open problem.
基金
Research supported by NSF(No.11671231,11201262 and 10921101)
Shandong Province(No.BS2013SF020 and ZR2014AP005)
Young Scholars Program of Shandong University and the 111 Project(No.B12023).