A stochastic recursive optimal control problem under the G-expectation framework
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Publication:486239
DOI10.1007/S00245-014-9242-8zbMATH Open1308.93225arXiv1306.1312OpenAlexW1978011944MaRDI QIDQ486239FDOQ486239
Shaolin Ji, Mingshang Hu, Shuzhen Yang
Publication date: 14 January 2015
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Abstract: In this paper, we study a stochastic recursive optimal control problem in which the objective 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 Hamilton-Jacobi-Bellman (HJB) equation in the framework of G-expectation. Finally, we show that the value function is the viscosity solution of the obtained HJB equation.
Full work available at URL: https://arxiv.org/abs/1306.1312
\(G\)-expectationbackward stochastic differential equationsstochastic optimal controlviscosity solutiondynamic programming principle
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial value problems for second-order parabolic equations (35K15) Optimal stochastic control (93E20)
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