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

DOI10.1080/00207179.2016.1204560MaRDI QIDQ5280315zbMATH OpenOpenAlexFDO

Authors Yong Ren, Jun Wang, Lanying Hu

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

\(G\)-Brownian motionoptimal controlvariational inequalityHJB systemmulti-valued stochastic differential equation

Mathematics Subject Classification ID

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

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Cites work

• Approximation and simulation of stochastic variational inequalities - splitting up method
• Backward stochastic differential equations with subdifferential operator and related variational inequalities
• Diffusion processes with boundary conditions
• Extension and Application of Itô's Formula UnderG-Framework
• Multivalued Skorohod problem
• Nonlinear Differential Equations of Monotone Types in Banach Spaces
• Pathwise properties and homeomorphic flows for stochastic differential equations driven by G-Brownian motion
• Second order Hamilton-Jacobi-Bellman equations with an unbounded operator
• Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
• Stochastic differential equations driven by G-Brownian motion with reflecting boundary conditions
• Stochastic differential equations with reflecting boundary conditions
• Stochastic functional differential equations with infinite delay driven by \(G\)-Brownian motion
• Stochastic optimal control problems under G-expectation
• The optimal control problem associated with multi-valued stochastic differential equations with jumps
• User’s guide to viscosity solutions of second order partial differential equations
• WIENER–POISSON TYPE MULTIVALUED STOCHASTIC EVOLUTION EQUATIONS IN BANACH SPACES

Cited in

(16)

• Boundedness and stability analysis for impulsive stochastic differential equations driven by \(G\)-Brownian motion
• Exact null controllability of Sobolev-type Hilfer fractional stochastic differential equations with fractional Brownian motion and Poisson jumps
• Stochastic differential equations with perturbations driven by \(G\)-Brownian motion
• Sobolev-type stochastic differential equations driven by \(G\)-Brownian motion
• Exponential stability of SDEs driven by \(G\)-Brownian motion with delayed impulsive effects: average impulsive interval approach
• Multi-valued backward stochastic differential equations driven by \(G\)-Brownian motion and its applications
• Asymptotical boundedness for stochastic coupled systems on networks driven by \(G\)-Brownian motion
• Stabilisation of multi-weights stochastic complex networks with time-varying delay driven by \(G\)-Brownian motion via aperiodically intermittent adaptive control
• Asymptotical boundedness for stochastic coupled systems on networks with time-varying delay driven by \(G\)-Brownian motion
• The optimal control problem associated with multi-valued stochastic differential equations with jumps
• Invariance principles for G-brownian-motion-driven stochastic differential equations and their applications to G-stochastic control
• Noninstantaneous impulsive and nonlocal Hilfer fractional stochastic integrodifferential equations with fractional Brownian motion and Poisson jumps
• Asymptotical boundedness and stability for stochastic differential equations with delay driven by \(G\)-Brownian motion
• On boundedness and convergence of solutions for neutral stochastic functional differential equations driven by G-Brownian motion
• Existence and stability for fractional parabolic integro-partial differential equations with fractional Brownian motion and nonlocal condition
• Approximate controllability of noninstantaneous impulsive Hilfer fractional integrodifferential equations with fractional Brownian motion

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