Discrete‐time approximation for stochastic optimal control problems under the G‐expectation framework

DOI10.1002/oca.2814arXiv2104.02268OpenAlexW3209986169MaRDI QIDQ6053701

Lianzi Jiang

Publication date: 23 October 2023

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

Full work available at URL: https://arxiv.org/abs/2104.02268

zbMATH Keywords

stochastic optimal controlconvergence rate\(G\)-expectationdiscrete scheme

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

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