Stochastic Maximum Principle for Stochastic Recursive Optimal Control Problem Under Volatility Ambiguity

DOI10.1137/15M1037639zbMath1334.93183arXiv1508.07693OpenAlexW2963373476MaRDI QIDQ2799360

Shaolin Ji, Ming Shang Hu

Publication date: 11 April 2016

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.07693

zbMATH Keywords

maximum principlerobust controlbackward stochastic differential equations\(G\)-expectationvolatility ambiguity

Mathematics Subject Classification ID

Sensitivity (robustness) (93B35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Initial value problems for second-order parabolic equations (35K15) Optimality conditions for problems involving randomness (49K45)

Related Items (12)

Maximum principle of optimal stochastic control with terminal state constraint and its application in finance ⋮ The stochastic maximum principle in singular optimal control with recursive utilities ⋮ Harnack inequality and gradient estimate for functional \(G\)-SDEs with degenerate noise ⋮ Stochastic maximum principle for optimal control problem under G-expectation utility ⋮ Quasi-sure exponential stabilization of stochastic systems induced by \(G\)-Brownian motion with discrete time feedback control ⋮ Maximum principle for mean-field SDEs under model uncertainty ⋮ Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problem under volatility uncertainty ⋮ Rough path analysis for local time of G-Brownian motion ⋮ \(G\)-stochastic maximum principle for risk-sensitive control problem and its applications ⋮ Maximum Principle for Stochastic Recursive Optimal Control Problem under Model Uncertainty ⋮ Recursive utility maximization for terminal wealth under partial information ⋮ Optimal control with delayed information flow of systems driven by \(G\)-Brownian motion

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