Stochastic optimization theory of backward stochastic differential equations driven by G-Brownian motion

DOI10.1155/2013/564524zbMath1293.49037arXiv1306.0176OpenAlexW1998444184WikidataQ58917130 ScholiaQ58917130MaRDI QIDQ2015746

Zhonghao Zheng, Xiuchun Bi, Shuguang Zhang

Publication date: 23 June 2014

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1306.0176

zbMATH Keywords

viscosity solutionbackward stochastic differential equationsG-Brownian motiongeneralized dynamic programming principlestochastic optimal control problems

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Nonlinear higher-order PDEs (35G20) Ordinary differential equations and systems with randomness (34F05) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Existence of optimal solutions to problems involving randomness (49J55) Viscosity solutions to PDEs (35D40)

Related Items (1)

Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming

Cites Work

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