On relaxed stochastic optimal control for stochastic differential equations driven by G-Brownian motion
Probability
2017-03-01 v1
Abstract
In the G-framework, we establish existence of an optimal stochastic relaxed control for stochastic differential equations driven by a G-Brownian motion.
Keywords
Cite
@article{arxiv.1702.08735,
title = {On relaxed stochastic optimal control for stochastic differential equations driven by G-Brownian motion},
author = {Amel Redjil and Salah Eddine Choutri},
journal= {arXiv preprint arXiv:1702.08735},
year = {2017}
}