Regularity and optimality necessary conditions for system of G-stochastic differential equations

DOI10.1134/S199508022311015XMaRDI QIDQ6544210zbMATH OpenFDO

Authors H. Ben Gherbal, Amel Redjil, Zineb Arab

Publication date 27 May 2024

Published in Lobachevskii Journal of Mathematics (Search for Journal in Brave)

zbMATH Keywords

Pontryagin's maximum principlerelaxed controlsublinear expectationtemporal regularityG-SDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Foundations of stochastic processes (60G05) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

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Cites work

• scientific article; zbMATH DE number 3573705 (Why is no real title available?)
• Backward stochastic differential equations driven by \(G\)-Brownian motion
• Compactification methods in the control of degenerate diffusions: existence of an optimal control
• Differentiability of stochastic differential equations driven by the \(G\)-Brownian motion
• Existence of relaxed stochastic optimal control for G-SDEs with controlled jumps
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and \(G\)-Brownian motion
• On relaxed stochastic optimal control for stochastic differential equations driven by G-Brownian motion
• Optimal control with delayed information flow of systems driven by \(G\)-Brownian motion
• Pathwise properties and homeomorphic flows for stochastic differential equations driven by G-Brownian motion
• Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation
• Wellposedness and stability of fractional stochastic nonlinear heat equation in Hilbert space

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