Stochastic optimal control problem with infinite horizon driven by G-Brownian motion
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Publication:4554119
DOI10.1051/cocv/2017044zbMath1401.93224arXiv1606.01491OpenAlexW2963536793MaRDI QIDQ4554119
Publication date: 7 November 2018
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1606.01491
stochastic optimal controlbackward stochastic differential equations\(G\)-Brownian motiondynamic programming principle
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Nonlinear elliptic equations (35J60) Optimal stochastic control (93E20)
Related Items (5)
Existence of relaxed optimal control for $G$-neutral stochastic functional differential equations with uncontrolled diffusion ⋮ Probabilistic approach to singular perturbations of viscosity solutions to nonlinear parabolic PDEs ⋮ Stochastic optimal control problem with obstacle constraints in sublinear expectation framework ⋮ Further results on stabilization of stochastic differential equations with delayed feedback control under \( G \)-expectation framework ⋮ Improved Results on Stabilization of $G$-SDEs by Feedback Control Based on Discrete-Time Observations
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