A stochastic recursive optimal control problem under the G-expectation framework
Optimization and Control
2013-06-07 v1
Abstract
In this paper, we study a stochastic recursive optimal control problem in which the objective functional is described by the solution of a backward stochastic differential equation driven by G-Brownian motion. Under standard assumptions, we establish the dynamic programming principle and the related Hamilton-Jacobi-Bellman (HJB) equation in the framework of G-expectation. Finally, we show that the value function is the viscosity solution of the obtained HJB equation.
Cite
@article{arxiv.1306.1312,
title = {A stochastic recursive optimal control problem under the G-expectation framework},
author = {Mingshang Hu and Shaolin Ji and Shuzhen Yang},
journal= {arXiv preprint arXiv:1306.1312},
year = {2013}
}