Stochastic optimization theory of backward stochastic differential equations driven by G-Brownian motion

DOI10.1155/2013/564524MaRDI QIDQ2015746zbMATH OpenOpenAlexWikidataFDO

Authors Zhonghao Zheng, Xiuchun Bi, Shuguang Zhang

Publication date 23 June 2014

Published in Abstract and Applied Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://arxiv.org/abs/1306.0176

zbMATH Keywords

backward stochastic differential equationsviscosity solutionG-Brownian motiongeneralized dynamic programming principlestochastic optimal control problems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Viscosity solutions to PDEs (35D40) Existence of optimal solutions to problems involving randomness (49J55) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20) Nonlinear higher-order PDEs (35G20)

Abstract: In this paper, 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 [10.11], we can investigate the more general stochastic optimal control problems under G-expectation than that were constructed in [28]. 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.

Recommendations

• Stochastic optimal control problems under G-expectation
• A stochastic recursive optimal control problem under the G-expectation framework
• Dynamic programming principle for stochastic recursive optimal control problem driven by a \(G\)-Brownian motion
• Stochastic optimal control problem with infinite horizon driven by \(G\)-Brownian motion
• A stochastic maximum principle for processes driven by \(G\)-Brownian motion and applications to finance

Cites work

• scientific article; zbMATH DE number 5971068 (Why is no real title available?)
• scientific article; zbMATH DE number 140601 (Why is no real title available?)
• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• A complete representation theorem for \(G\)-martingales
• Adapted solution of a backward stochastic differential equation
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations and applications to optimal control
• Efficient and equilibrium allocations with stochastic differential utility
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Martingale characterization of \(G\)-Brownian motion
• Martingale representation theorem for the \(G\)-expectation
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Pathwise properties and homeomorphic flows for stochastic differential equations driven by G-Brownian motion
• Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
• Properties of hitting times for G-martingales and their applications
• Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
• Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
• Stochastic Differential Utility
• Stochastic optimal control problems under G-expectation
• Zero-sum stochastic differential games and backward equations
• \(G\)-expectation, \(G\)-Brownian motion and related stochastic calculus of Itô type

Cited in

(9)

• Stochastic optimal control problem with infinite horizon driven by \(G\)-Brownian motion
• Stochastic optimal control problems under G-expectation
• A stochastic recursive optimal control problem under the G-expectation framework
• A generalized stochastic differential utility driven by \(G\)-Brownian motion
• Optimal stochastic control and optimal consumption-portfolio with \(G\)-Brownian motion
• Multi-valued stochastic differential equations driven by \(G\)-Brownian motion and related stochastic control problems
• Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming
• Stochastic maximum principle for optimal control problem under G-expectation utility
• A stochastic maximum principle for processes driven by \(G\)-Brownian motion and applications to finance

This page was built for publication: Stochastic optimization theory of backward stochastic differential equations driven by G-Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2015746)