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

DOI10.1155/2013/564524zbMATH Open1293.49037arXiv1306.0176OpenAlexW1998444184WikidataQ58917130 ScholiaQ58917130MaRDI QIDQ2015746FDOQ2015746

Authors: Zhonghao Zheng, Xiuchun Bi, Shuguang Zhang 

Publication date: 23 June 2014

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

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.

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

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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)

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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

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