\(G\)-stochastic maximum principle for risk-sensitive control problem and its applications
DOI10.3934/puqr.2023021OpenAlexW4390240752MaRDI QIDQ6149347
Publication date: 5 February 2024
Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/puqr.2023021
stochastic optimal controlrisk-sensitive control\(G\)-Brownian motion\(G\)-expectationlogarithmic transformation\(G\)-stochastic differential equation\(G\)-stochastic maximum principle
Optimal stochastic control (93E20) Martingales and classical analysis (60G46) Optimality conditions for problems involving randomness (49K45) Utility theory for games (91A30) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)
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