Stochastic maximum principle for optimal control with multiple priors

DOI10.1016/j.sysconle.2013.12.001zbMath1283.93323MaRDI QIDQ2440025

Yu-hong Xu

Publication date: 26 March 2014

Published in: Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sysconle.2013.12.001

zbMATH Keywords

stochastic maximum principle; \(G\)-Brownian motion; \(G\)-expectation; multiple priors

Mathematics Subject Classification ID

60J65: Brownian motion

93E20: Optimal stochastic control

49K45: Optimality conditions for problems involving randomness

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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, Robust valuation, arbitrage ambiguity and profit \& loss analysis, Stochastic maximum principle for optimal control problem under G-expectation utility, Stochastic Maximum Principle for Stochastic Recursive Optimal Control Problem Under Volatility Ambiguity

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