Dynamic programming principle for stochastic recursive optimal control problem driven by a \(G\)-Brownian motion
From MaRDI portal
Publication:347470
DOI10.1016/j.spa.2016.06.002zbMath1349.93406arXiv1410.3538OpenAlexW2411501272MaRDI QIDQ347470
Publication date: 30 November 2016
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1410.3538
robust controlbackward stochastic differential equations\(G\)-expectationdynamic programming principlestochastic recursive optimal control
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Initial value problems for second-order parabolic equations (35K15)
Related Items (14)
Delay feedback stabilisation of stochastic differential equations driven by G-Brownian motion ⋮ The stochastic maximum principle in singular optimal control with recursive utilities ⋮ Stochastic optimal control problem with infinite horizon driven by G-Brownian motion ⋮ Path independence of additive functionals for stochastic differential equations under \(G\)-framework ⋮ Relationship between maximum principle and dynamic programming principle for stochastic recursive optimal control problem under volatility uncertainty ⋮ Local wellposedness of coupled backward stochastic differential equations driven by \(G\)-Brownian motions ⋮ Quasi-sure exponential stability and stabilisation of stochastic delay differential equations under G-expectation framework ⋮ Forward-backward stochastic differential equations driven by \(G\)-Brownian motion ⋮ Stochastic optimal control problem with obstacle constraints in sublinear expectation framework ⋮ Backward stochastic differential equations driven by \(G\)-Brownian motion with uniformly continuous generators ⋮ Recursive utility maximization for terminal wealth under partial information ⋮ G-expected utility maximization with ambiguous equicorrelation ⋮ Improved Results on Stabilization of $G$-SDEs by Feedback Control Based on Discrete-Time Observations ⋮ Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation
Cites Work
- Unnamed Item
- Unnamed Item
- Quasi-continuous random variables and processes under the \(G\)-expectation framework
- Robust utility maximization for a diffusion market model with misspecified coefficients
- Wellposedness of second order backward SDEs
- A stochastic recursive optimal control problem under the G-expectation framework
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- Asymptotic expansions for Markov processes with Lévy generators
- A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
- On representation theorem of \(G\)-expectations and paths of \(G\)-Brownian motion
- Backward stochastic differential equations and applications to optimal control
- Backward stochastic differential equations driven by \(G\)-Brownian motion
- Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
- Ambiguous volatility, possibility and utility in continuous time
- Stochastic target games with controlled loss
- Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
- Stochastic Target Games and Dynamic Programming via Regularized Viscosity Solutions
- Optimal Investment under Model Uncertainty in Nondominated Models
- Two Person Zero-Sum Game in Weak Formulation and Path Dependent Bellman--Isaacs Equation
- Existence of an optimal control for stochastic control systems with nonlinear cost functional
- Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations
- A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
- Stochastic Differential Utility
- User’s guide to viscosity solutions of second order partial differential equations
- Backward Stochastic Differential Equations in Finance
- ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL
- Ambiguity, Risk, and Asset Returns in Continuous Time
This page was built for publication: Dynamic programming principle for stochastic recursive optimal control problem driven by a \(G\)-Brownian motion
