On relaxed stochastic optimal control for stochastic differential equations driven by G-Brownian motion

zbMath1388.60100arXiv1702.08735MaRDI QIDQ4603443

Salah Eddine Choutri, Amel Redjil

Publication date: 20 February 2018

Full work available at URL: https://arxiv.org/abs/1702.08735

zbMATH Keywords

capacityG-Brownian motionsublinear expectationrelaxed optimal controlG-chattering lemma

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (3)

Existence of relaxed optimal control for $G$-neutral stochastic functional differential equations with uncontrolled diffusion ⋮ First-Order Pontryagin Maximum Principle for Risk-Averse Stochastic Optimal Control Problems ⋮ Existence of relaxed stochastic optimal control for G-SDEs with controlled jumps

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