A quasi-sure approach to the control of non-Markovian stochastic differential equations (Q428636)
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scientific article
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| English | A quasi-sure approach to the control of non-Markovian stochastic differential equations |
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A quasi-sure approach to the control of non-Markovian stochastic differential equations (English)
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22 June 2012
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stochastic optimal control
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non-Markovian SDE
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second order BSDE
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G-expectation
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random G-expectation
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volatility uncertainty
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risk measure
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0.8721688389778137
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0.7855626940727234
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0.7835512757301331
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0.7666546106338501
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0.766339898109436
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