Stochastic optimal control problem with infinite horizon driven by <i>G</i>-Brownian motion (Q4554119): Difference between revisions

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Latest revision as of 07:40, 17 July 2024

scientific article; zbMATH DE number 6974834
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English
Stochastic optimal control problem with infinite horizon driven by <i>G</i>-Brownian motion
scientific article; zbMATH DE number 6974834

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    Stochastic optimal control problem with infinite horizon driven by <i>G</i>-Brownian motion (English)
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    7 November 2018
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    \(G\)-Brownian motion
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    backward stochastic differential equations
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    stochastic optimal control
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    dynamic programming principle
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