Optimal control with delayed information flow of systems driven by G-Brownian motion

DOI10.1186/S41546-018-0033-ZMaRDI QIDQ2296119zbMATH OpenOpenAlexWikidataFDO

Authors Francesca Biagini, Thilo Meyer-Brandis, Krzysztof Paczka, B. Øksendal

Publication date 17 February 2020

Published in Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1402.3139

zbMATH Keywords

\(G\)-Brownian motionoptimal control problemstochastic maximum principle

Mathematics Subject Classification ID

Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65) Optimal stochastic control (93E20)

Abstract: In this paper we study strongly robust optimal control problems under volatility uncertainty. In the $G$-framework we adapt the stochastic maximum principle to find necessary and sufficient conditions for the existence of a strongly robust optimal control.

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Cites work

• G-expectation, G-Brownian motion and related stochastic calculus of Itô type
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• A stochastic recursive optimal control problem under the G-expectation framework
• Backward stochastic differential equations driven by \(G\)-Brownian motion
• Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Martingale representation theorem for the \(G\)-expectation
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• Robust utility maximization in nondominated models with 2BSDE: the uncertain volatility model
• Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
• Stochastic maximum principle for stochastic recursive optimal control problem under volatility ambiguity
• Uniqueness of the representation for G-martingales with finite variation
• Wellposedness of second order backward SDEs

Cited in

(10)

• A white noise approach to optimal insider control of systems with delay
• Stochastic maximum principle for optimal control problem under G-expectation utility
• On relaxed stochastic optimal control for stochastic differential equations driven by G-Brownian motion
• Existence of relaxed optimal control for G-neutral stochastic functional differential equations with uncontrolled diffusion
• Maximum principle for mean-field SDEs under model uncertainty
• Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problem under volatility uncertainty
• G-stochastic maximum principle for risk-sensitive control problem and its applications
• Regularity and optimality necessary conditions for system of G-stochastic differential equations
• Pontrayagin's stochastic maximum principle with sublinear expectation
• Mean-field stochastic control problems under sublinear expectation

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