Stochastic optimization theory of backward stochastic differential equations driven by G-Brownian motion (Q2015746)
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English | Stochastic optimization theory of backward stochastic differential equations driven by G-Brownian motion |
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Stochastic optimization theory of backward stochastic differential equations driven by G-Brownian motion (English)
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23 June 2014
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Summary: We consider the stochastic optimal control problems under G-expectation. Based on the theory of backward stochastic differential equations driven by G-Brownian motion, which was introduced in [\textit{M. Hu} et al., Stochastic Processes Appl. 124, No. 1, 759--784 (2014; Zbl 1300.60074)], we can investigate the more general stochastic optimal control problems under G-expectation than that were constructed in [\textit{D. Zhang}, Optim. Control Appl. Methods 34, No. 1, 96--110 (2013; Zbl 1273.93180)]. Then we obtain a generalized dynamic programming principle, and the value function is proved to be a viscosity solution of a fully nonlinear second-order partial differential equation.
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stochastic optimal control problems
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G-Brownian motion
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backward stochastic differential equations
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generalized dynamic programming principle
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viscosity solution
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