Regularity and optimality necessary conditions for system of G-stochastic differential equations
DOI10.1134/S199508022311015XzbMATH Open1539.60067MaRDI QIDQ6544210FDOQ6544210
Authors: H. Ben Gherbal, Amel Redjil, Zineb Arab 
Publication date: 27 May 2024
Published in: Lobachevskii Journal of Mathematics (Search for Journal in Brave)
Recommendations
- Necessary optimality conditions for singular controls in stochastic Goursat-Darboux systems
- Stochastic maximum principle for optimal control problem under G-expectation utility
- First order necessary optimal conditions in Gursat-Darboux stochastic systems
- Publication:3485689
- Singular controls in quasilinear stochastic Goursat-Darboux systems
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)
Cites Work
- Differentiability of stochastic differential equations driven by the \(G\)-Brownian motion
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- Pathwise properties and homeomorphic flows for stochastic differential equations driven by \(G\)-Brownian motion
- Compactification methods in the control of degenerate diffusions: existence of an optimal control
- Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and \(G\)-Brownian motion
- Backward stochastic differential equations driven by \(G\)-Brownian motion
- Wellposedness and stability of fractional stochastic nonlinear heat equation in Hilbert space
- Title not available (Why is that?)
- Quadratic backward stochastic differential equations driven by \(G\)-Brownian motion: discrete solutions and approximation
- Optimal control with delayed information flow of systems driven by \(G\)-Brownian motion
- On relaxed stochastic optimal control for stochastic differential equations driven by G-Brownian motion
- Existence of relaxed stochastic optimal control for G-SDEs with controlled jumps
This page was built for publication: Regularity and optimality necessary conditions for system of G-stochastic differential equations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6544210)
