A Stochastic Recursive Optimal Control Problem Under the G-expectation Framework

A Stochastic Recursive Optimal Control Problem Under the G-expectation Framework In this paper, we study a stochastic recursive optimal control problem in which the objective functional is described by the solution of a backward stochastic differential equation driven by $$G$$ G -Brownian motion. Under standard assumptions, we establish the dynamic programming principle and the related Hamilton–Jacobi–Bellman (HJB) equation in the framework of $$G$$ G -expectation. Finally, we show that the value function is the viscosity solution of the obtained HJB equation. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

A Stochastic Recursive Optimal Control Problem Under the G-expectation Framework

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Springer US
Copyright © 2014 by Springer Science+Business Media New York
Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics
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