Stochastic optimal control problem with infinite horizon driven by G-Brownian motion
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)
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