Stochastic maximum principle for optimal control problem under G-expectation utility
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Cites work
- G-expectation, G-Brownian motion and related stochastic calculus of Itô type
- A stochastic maximum principle for processes driven by G-Brownian motion and applications to finance
- Backward stochastic differential equations driven by \(G\)-Brownian motion
- Extension and Application of Itô's Formula UnderG-Framework
- scientific article; zbMATH DE number 1066320 (Why is no real title available?)
- Martingale representation theorem for the \(G\)-expectation
- Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation
- Nonlinear expectations and nonlinear Markov chains
- Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and G-Brownian motion
- On the existence and uniqueness of solutions to stochastic differential equations driven by \(G\)-Brownian motion with integral-Lipschitz coefficients
- 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
- Stochastic differential equations driven by G-Brownian motion with reflecting boundary conditions
- Stochastic maximum principle for optimal control with multiple priors
- Stochastic maximum principle for stochastic recursive optimal control problem under volatility ambiguity
- Stopping times and related Itô's calculus with \(G\)-Brownian motion
Cited in
(9)- Maximum principle for a stochastic optimal control problem and application to portfolio/consumption choice
- Optimal control with delayed information flow of systems driven by \(G\)-Brownian motion
- Stochastic optimal control problems under G-expectation
- Optimal stochastic control and optimal consumption-portfolio with G-Brownian motion
- A stochastic maximum principle for processes driven by G-Brownian motion and applications to finance
- G-stochastic maximum principle for risk-sensitive control problem and its applications
- Regularity and optimality necessary conditions for system of G-stochastic differential equations
- Two-stage stochastic optimal control problem under G-expectation
- Pontrayagin's stochastic maximum principle with sublinear expectation
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