Existence of relaxed stochastic optimal control for G-SDEs with controlled jumps
DOI10.1080/07362994.2021.1991809OpenAlexW3208265916MaRDI QIDQ5876580
Amel Redjil, Omar Kebiri, Hanane Ben Gherbal
Publication date: 1 February 2023
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2021.1991809
stochastic differential equationstochastic controljump process\(G\)-Brownian motionsublinear expectationrelaxed optimal control\(G\)-chattering lemma
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)
Cites Work
- Unnamed Item
- Unnamed Item
- Quasi-sure stochastic analysis through aggregation
- Martingale representation theorem for the \(G\)-expectation
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- Filtration consistent nonlinear expectations and evaluations of contingent claims
- Pathwise properties and homeomorphic flows for stochastic differential equations driven by \(G\)-Brownian motion
- A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
- Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
- Jensen's inequality for \(g\)-expectation. I
- Jump-diffusions with controlled jumps: Existence and numerical methods
- Robust valuation, arbitrage ambiguity and profit \& loss analysis
- Filtration-consistent nonlinear expectations and related \(g\)-expectations
- A general downcrossing inequality for \(g\)-martingales
- \(G\)-Lévy processes under sublinear expectations
- Adaptive importance sampling with forward-backward stochastic differential equations
- The relaxed stochastic maximum principle in optimal control of diffusions with controlled jumps
- Ambiguous volatility, possibility and utility in continuous time
- Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
- Existence of an Optimal Markovian Filter for the Control under Partial Observations
- On relaxed stochastic optimal control for stochastic differential equations driven by G-Brownian motion
- Duality and General Equilibrium Theory Under Knightian Uncertainty
- Compactification methods in the control of degenerate diffusions: existence of an optimal control
- Necessary conditions for optimality in relaxed stochastic control problems
- Nonlinear Expectations and Stochastic Calculus under Uncertainty
- Variational approach to rare event simulation using least-squares regression
- The Relaxed Stochastic Maximum Principle in Singular Optimal Control of Diffusions
- MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g‐EXPECTATION
This page was built for publication: Existence of relaxed stochastic optimal control for G-SDEs with controlled jumps
