Stochastic optimal control problems under G-expectation

DOI10.1002/oca.2012zbMath1273.93180OpenAlexW1479676672MaRDI QIDQ2857152

Defei Zhang

Publication date: 31 October 2013

Published in: Optimal Control Applications and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/oca.2012

zbMATH Keywords

G-Brownian motionG-expectationstochastic optimal control problems

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items

Multi-valued stochastic differential equations driven byG-Brownian motion and related stochastic control problems, Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming, A stochastic recursive optimal control problem under the G-expectation framework, Stochastic optimization theory of backward stochastic differential equations driven by G-Brownian motion

Cites Work

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