Optimal relaxed control for a decoupled \(G\)-FBSDE

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Financial applications of other theories (91G80)

Cites Work

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Dynamic programming principle for stochastic recursive optimal control problem driven by a \(G\)-Brownian motion
On the existence and uniqueness of solutions to stochastic differential equations driven by \(G\)-Brownian motion with integral-Lipschitz coefficients
Existence of an optimal control for a system driven by a degenerate coupled forward-backward stochastic differential equations
Adapted solution of a backward stochastic differential equation
A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
Conjugate convex functions in optimal stochastic control
Existence of solution for stochastic differential equations driven by \(G\)-Lévy process with discontinuous coefficients
Forward-backward stochastic differential equations driven by \(G\)-Brownian motion
Backward stochastic differential equations driven by \(G\)-Brownian motion
Comparison theorem, Feynman-Kac formula and Girsanov transformation for BSDEs driven by \(G\)-Brownian motion
A General Stochastic Maximum Principle for Optimal Control Problems
Probabilistic interpretation for systems of quasilinear parabolic partial differential equations
A Generalized dynamic programming principle and hamilton-jacobi-bellman equation
Backward Stochastic Differential Equations in Finance
On relaxed stochastic optimal control for stochastic differential equations driven by G-Brownian motion
Existence of an optimal control for a coupled FBSDE with a non degenerate diffusion coefficient
Nonlinear Expectations and Stochastic Calculus under Uncertainty

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