Optimal control with delayed information flow of systems driven by \(G\)-Brownian motion

DOI10.1186/s41546-018-0033-zzbMath1444.60044arXiv1402.3139OpenAlexW2962922534WikidataQ129043294 ScholiaQ129043294MaRDI QIDQ2296119

Thilo Meyer-Brandis, Francesca Biagini, Krzysztof Paczka, Bernt Øksendal

Publication date: 17 February 2020

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1402.3139

zbMATH Keywords

stochastic maximum principleoptimal control problem\(G\)-Brownian motion

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

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