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

DOI10.1016/J.SPA.2016.06.002MaRDI QIDQ347470zbMATH OpenOpenAlexFDO

Authors Shaolin Ji, Mingshang Hu

Publication date 30 November 2016

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

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

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)

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.

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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
• Dynamic programming principle and viscosity solutions of Hamilton-Jacobi-Bellman equations for stochastic recursive control problem with non-Lipschitz generator
• BSDEs driven by \(G\)-Brownian motion under degenerate case and its application to the regularity of fully nonlinear PDEs
• 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
• A stochastic recursive optimal control problem under the G-expectation framework
• Stochastic optimal control problem with obstacle constraints in sublinear expectation framework
• The stochastic maximum principle in singular optimal control with recursive utilities
• Dynamic programming principle and associated Hamilton-Jacobi-Bellman equation for stochastic recursive control problem with non-Lipschitz aggregator
• 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
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• 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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