Multi-valued stochastic differential equations driven by G-Brownian motion and related stochastic control problems
DOI10.1080/00207179.2016.1204560zbMATH Open1367.93721OpenAlexW2467816832MaRDI QIDQ5280315FDOQ5280315
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
Recommendations
- Multi-valued backward stochastic differential equations driven by \(G\)-Brownian motion and its applications
- The optimal control problem associated with multi-valued stochastic differential equations with jumps
- Multi-dimensional BSDEs driven by \(G\)-Brownian motion and related system of fully nonlinear PDEs
- Stochastic optimization theory of backward stochastic differential equations driven by G-Brownian motion
- Stability theorem for stochastic differential equations driven by \(G\)-Brownian motion
\(G\)-Brownian motionoptimal controlvariational inequalityHJB systemmulti-valued stochastic differential equation
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)
Cites Work
- Stochastic differential equations with reflecting boundary conditions
- Stochastic differential equations driven by \(G\)-Brownian motion with reflecting boundary conditions
- User’s guide to viscosity solutions of second order partial differential equations
- Extension and Application of Itô's Formula UnderG-Framework
- Diffusion processes with boundary conditions
- Nonlinear Differential Equations of Monotone Types in Banach Spaces
- Pathwise properties and homeomorphic flows for stochastic differential equations driven by \(G\)-Brownian motion
- Stochastic functional differential equations with infinite delay driven by \(G\)-Brownian motion
- Some properties on \(G\)-evaluation and its applications to \(G\)-martingale decomposition
- Multivalued Skorohod problem
- Second order Hamilton-Jacobi-Bellman equations with an unbounded operator
- Backward stochastic differential equations with subdifferential operator and related variational inequalities
- The optimal control problem associated with multi-valued stochastic differential equations with jumps
- Approximation and simulation of stochastic variational inequalities - splitting up method
- WIENER–POISSON TYPE MULTIVALUED STOCHASTIC EVOLUTION EQUATIONS IN BANACH SPACES
- Stochastic optimal control problems under G-expectation
Cited In (16)
- Exact null controllability of Sobolev-type Hilfer fractional stochastic differential equations with fractional Brownian motion and Poisson jumps
- Sobolev-type stochastic differential equations driven by \(G\)-Brownian motion
- Stochastic differential equations with perturbations driven by \(G\)-Brownian motion
- Multi-valued backward stochastic differential equations driven by \(G\)-Brownian motion and its applications
- Exponential stability of SDEs driven by \(G\)-Brownian motion with delayed impulsive effects: average impulsive interval approach
- 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
- Existence and stability for fractional parabolic integro-partial differential equations with fractional Brownian motion and nonlocal condition
- On boundedness and convergence of solutions for neutral stochastic functional differential equations driven by G-Brownian motion
- Approximate controllability of noninstantaneous impulsive Hilfer fractional integrodifferential equations with fractional Brownian motion
- Boundedness and stability analysis for impulsive stochastic differential equations driven by \(G\)-Brownian motion
This page was built for publication: Multi-valued stochastic differential equations driven by \(G\)-Brownian motion and related stochastic control problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5280315)
