Dynamic Programming Principle for Stochastic Recursive Optimal Control Problem under G-framework
Optimization and Control
2014-10-15 v1
Abstract
In this paper, we study a stochastic recursive optimal control problem in which the cost 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 fully nonlinear 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.1410.3538,
title = {Dynamic Programming Principle for Stochastic Recursive Optimal Control Problem under G-framework},
author = {Mingshang Hu and Shaolin Ji},
journal= {arXiv preprint arXiv:1410.3538},
year = {2014}
}
Comments
29 pages. arXiv admin note: text overlap with arXiv:1306.1312