Multi-valued stochastic differential equations driven byG-Brownian motion and related stochastic control problems

DOI10.1080/00207179.2016.1204560zbMath1367.93721OpenAlexW2467816832MaRDI QIDQ5280315

Lanying Hu, Jun Wang, Yong Ren

Publication date: 20 July 2017

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207179.2016.1204560

zbMATH Keywords

optimal controlvariational inequality\(G\)-Brownian motionHJB systemmulti-valued stochastic differential equation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming (90C39) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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