Dynamic programming principle for stochastic recursive optimal control problem driven by a G-Brownian motion

DOI10.1016/J.SPA.2016.06.002zbMATH Open1349.93406arXiv1410.3538OpenAlexW2411501272MaRDI QIDQ347470FDOQ347470

Authors: Shaolin Ji, Mingshang Hu 

Publication date: 30 November 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: In this paper, we study a stochastic recursive optimal control problem in which the cost functional is described by the solution of a backward stochastic differential equation driven by G-Brownian motion. Under standard assumptions, we establish the dynamic programming principle and the related fully nonlinear HJB equation in the framework of G-expectation. Finally, we show that the value function is the viscosity solution of the obtained HJB equation.

Full work available at URL: https://arxiv.org/abs/1410.3538

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zbMATH Keywords

\(G\)-expectationbackward stochastic differential equationsrobust controldynamic programming principlestochastic recursive optimal control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial value problems for second-order parabolic equations (35K15) Optimal stochastic control (93E20)

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Cited In (28)

• Dynamic programming principle for one kind of stochastic recursive optimal control problem with Markovian switching
• Stochastic optimal control problem with infinite horizon driven by \(G\)-Brownian motion
• BSDEs driven by \(G\)-Brownian motion under degenerate case and its application to the regularity of fully nonlinear PDEs
• Dynamic programming principle and viscosity solutions of Hamilton-Jacobi-Bellman equations for stochastic recursive control problem with non-Lipschitz generator
• Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation
• G-expected utility maximization with ambiguous equicorrelation
• Two-stage stochastic optimal control problem under \(G\)-expectation
• Stochastic optimal control problems under G-expectation
• Local wellposedness of coupled backward stochastic differential equations driven by \(G\)-Brownian motions
• Path-dependent dynamic programming principles and related path-dependent PDEs under \(G\)-expectation
• Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problem under volatility uncertainty
• Stochastic optimal control problem with obstacle constraints in sublinear expectation framework
• A stochastic recursive optimal control problem under the G-expectation framework
• Dynamic programming principle and associated Hamilton-Jacobi-Bellman equation for stochastic recursive control problem with non-Lipschitz aggregator
• The stochastic maximum principle in singular optimal control with recursive utilities
• Improved results on stabilization of \(G\)-SDEs by feedback control based on discrete-time observations
• Delay feedback stabilisation of stochastic differential equations driven by \(G\)-Brownian motion
• Path independence of additive functionals for stochastic differential equations under \(G\)-framework
• \(p\)-distribution almost periodic solutions of semi-linear stochastic differential equations with \(G\)-Brownian motion
• Forward-backward stochastic differential equations driven by \(G\)-Brownian motion
• Recursive utility maximization for terminal wealth under partial information
• Optimal relaxed control for a decoupled \(G\)-FBSDE
• Stochastic maximum principle for stochastic recursive optimal control problem under volatility ambiguity
• Dynamic Programming Principle for One Kind of Stochastic Recursive Optimal Control Problem and Hamilton–Jacobi–Bellman Equation
• Quasi-sure exponential stability and stabilisation of stochastic delay differential equations under \(G\)-expectation framework
• Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous generators
• Stochastic optimization theory of backward stochastic differential equations driven by G-Brownian motion
• Dynamic programming principle for stochastic control problems driven by general Lévy noise

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