On relaxed stochastic optimal control for stochastic differential equations driven by G-Brownian motion
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Publication:4603443
zbMATH Open1388.60100arXiv1702.08735MaRDI QIDQ4603443FDOQ4603443
Authors: Amel Redjil, Salah Eddine Choutri 
Publication date: 20 February 2018
Abstract: In the G-framework, we establish existence of an optimal stochastic relaxed control for stochastic differential equations driven by a G-Brownian motion.
Full work available at URL: https://arxiv.org/abs/1702.08735
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)
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Cited In (5)
- Existence of relaxed stochastic optimal control for G-SDEs with controlled jumps
- First-Order Pontryagin Maximum Principle for Risk-Averse Stochastic Optimal Control Problems
- Existence of relaxed optimal control for \(G\)-neutral stochastic functional differential equations with uncontrolled diffusion
- Optimal relaxed control for a decoupled \(G\)-FBSDE
- Regularity and optimality necessary conditions for system of G-stochastic differential equations
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