Stochastic maximum principle for stochastic recursive optimal control problem under volatility ambiguity (Q2799360)
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scientific article; zbMATH DE number 6566962
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic maximum principle for stochastic recursive optimal control problem under volatility ambiguity |
scientific article; zbMATH DE number 6566962 |
Statements
11 April 2016
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backward stochastic differential equations
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volatility ambiguity
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\(G\)-expectation
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maximum principle
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robust control
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Stochastic maximum principle for stochastic recursive optimal control problem under volatility ambiguity (English)
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