On relaxed stochastic optimal control for stochastic differential equations driven by G-Brownian motion

MaRDI QIDQ4603443zbMATH OpenFDO

Authors Amel Redjil, Salah Eddine Choutri

Publication date 20 February 2018

Full work available at URL https://arxiv.org/abs/1702.08735, http://alea.impa.br/articles/v15/15-09.pdf

zbMATH Keywords

capacityG-Brownian motionsublinear expectationrelaxed optimal controlG-chattering lemma

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence of optimal solutions to problems involving randomness (49J55)

Abstract: In the G-framework, we establish existence of an optimal stochastic relaxed control for stochastic differential equations driven by a G-Brownian motion.

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Cited in

(5)

• Existence of relaxed stochastic optimal control for G-SDEs with controlled jumps
• Regularity and optimality necessary conditions for system of G-stochastic differential equations
• Optimal relaxed control for a decoupled \(G\)-FBSDE
• Existence of relaxed optimal control for \(G\)-neutral stochastic functional differential equations with uncontrolled diffusion
• First-Order Pontryagin Maximum Principle for Risk-Averse Stochastic Optimal Control Problems

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