Dynamic programming principle for stochastic optimal control problem under degenerate G-expectation

arXiv2210.09869MaRDI QIDQ6414331FDOQ6414331

Publication date: 18 October 2022

Abstract: In this paper, we study a stochastic optimal control problem under degenerate G-expectation. By using implied partition method, we show that the approximation result for admissible controls still hold. Based on this result, we prove that the value function is deterministic, and obtain the dynamic programming principle. Furthermore, we prove that the value function is the unique viscosity solution to the related HJB equation under degenerate case.

Mathematics Subject Classification ID

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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