Near-maximum principle for general recursive utility optimal control problem

摘要

In this study, we introduce a general recursive utility optimal control problem driven by a fully nonlinear stochastic differential system. In order to investigate Pontryagin's stochastic maximum principle for this new optimal control problem, we establish the near-optimal control system for the original problem and obtain the related near-maximum principle. Two examples are also provided to illustrate the near-maximum principle.