Stochastic optimal control problems under G-expectation

DOI10.1002/OCA.2012MaRDI QIDQ2857152zbMATH OpenOpenAlexFDO

Authors Defei Zhang

Publication date 31 October 2013

Published in Optimal Control Applications \& Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/oca.2012

zbMATH Keywords

G-Brownian motionG-expectationstochastic optimal control problems

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimal stochastic control (93E20)

Recommendations

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Cites work

• A dynamic maximum principle for the optimization of recursive utilities under constraints.
• A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations and applications to optimal control
• Backward Stochastic Differential Equations in Finance
• Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation
• Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
• Zero-sum stochastic differential games and backward equations

Cited in

(10)

• Stochastic optimization theory of backward stochastic differential equations driven by G-Brownian motion
• Optimal control with delayed information flow of systems driven by \(G\)-Brownian motion
• Stochastic maximum principle for optimal control problem under G-expectation utility
• Optimal stochastic control and optimal consumption-portfolio with G-Brownian motion
• Stochastic optimal control problem with infinite horizon driven by G-Brownian motion
• A stochastic recursive optimal control problem under the G-expectation framework
• Multi-valued stochastic differential equations driven by G-Brownian motion and related stochastic control problems
• Optimal control and zero-sum game subject to differential equations with Liu processes and random matrices
• Two-stage stochastic optimal control problem under G-expectation
• Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming

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