Stochastic optimal control problem with infinite horizon driven by <i>G</i>-Brownian motion (Q4554119)
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scientific article; zbMATH DE number 6974834
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic optimal control problem with infinite horizon driven by <i>G</i>-Brownian motion |
scientific article; zbMATH DE number 6974834 |
Statements
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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