Two-stage stochastic optimal control problem under \(G\)-expectation

DOI10.1016/j.sysconle.2024.105824zbMath1544.93855MaRDI QIDQ6577537

Zhuangzhuang Xing

Publication date: 24 July 2024

Published in: Systems \& Control Letters (Search for Journal in Brave)

zbMATH Keywords

robust control\(G\)-expectationsufficient optimality conditionmaximal reference probabilitytwo-stage state

Mathematics Subject Classification ID

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

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