A stochastic maximum principle for processes driven by G‐Brownian motion and applications to finance

DOI10.1002/oca.2299zbMath1386.49038arXiv1402.6793OpenAlexW2964218050MaRDI QIDQ4599839

Zhongyang Sun, Xin Zhang, Jun-Yi Guo

Publication date: 5 January 2018

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

Full work available at URL: https://arxiv.org/abs/1402.6793

zbMATH Keywords

stochastic optimal controlstochastic maximum principlemodel uncertaintyG-Brownian motionG-expectationambiguous volatility

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45)

Related Items (4)

Stochastic maximum principle for optimal control problem under G-expectation utility ⋮ \(G\)-stochastic maximum principle for risk-sensitive control problem and its applications ⋮ First-Order Pontryagin Maximum Principle for Risk-Averse Stochastic Optimal Control Problems ⋮ Stochastic differential equations for eigenvalues and eigenvectors of a \(G\)-Wishart process with drift

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