Dynamic programming principle for stochastic recursive optimal control problem driven by a \(G\)-Brownian motion

DOI10.1016/J.SPA.2016.06.002zbMath1349.93406arXiv1410.3538OpenAlexW2411501272MaRDI QIDQ347470

Shaolin Ji, Ming Shang Hu

Publication date: 30 November 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1410.3538

zbMATH Keywords

robust controlbackward stochastic differential equations\(G\)-expectationdynamic programming principlestochastic recursive optimal control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Initial value problems for second-order parabolic equations (35K15)

Related Items (18)

Delay feedback stabilisation of stochastic differential equations driven by G-Brownian motion ⋮ The stochastic maximum principle in singular optimal control with recursive utilities ⋮ Stochastic optimal control problem with infinite horizon driven by G-Brownian motion ⋮ Path independence of additive functionals for stochastic differential equations under \(G\)-framework ⋮ Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problem under volatility uncertainty ⋮ Local wellposedness of coupled backward stochastic differential equations driven by \(G\)-Brownian motions ⋮ Quasi-sure exponential stability and stabilisation of stochastic delay differential equations under G-expectation framework ⋮ Forward-backward stochastic differential equations driven by \(G\)-Brownian motion ⋮ Stochastic optimal control problem with obstacle constraints in sublinear expectation framework ⋮ Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous generators ⋮ Recursive utility maximization for terminal wealth under partial information ⋮ BSDEs driven by \(G\)-Brownian motion under degenerate case and its application to the regularity of fully nonlinear PDEs ⋮ Two-stage stochastic optimal control problem under \(G\)-expectation ⋮ \(p\)-distribution almost periodic solutions of semi-linear stochastic differential equations with \(G\)-Brownian motion ⋮ Optimal relaxed control for a decoupled \(G\)-FBSDE ⋮ G-expected utility maximization with ambiguous equicorrelation ⋮ Improved Results on Stabilization of $G$-SDEs by Feedback Control Based on Discrete-Time Observations ⋮ Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation

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