Stochastic Optimization Theory of Backward Stochastic Differential Equations Driven by G-Brownian Motion
Probability
2013-08-19 v2
Abstract
In this paper, we consider the stochastic optimal control problems under G-expectation. Based on the theory of backward stochastic differential equations driven by G-Brownian motion, which was introduced in [10.11], we can investigate the more general stochastic optimal control problems under G-expectation than that were constructed in [28]. Then we obtain a generalized dynamic programming principle and the value function is proved to be a viscosity solution of a fully nonlinear second-order partial differential equation.
Keywords
Cite
@article{arxiv.1306.0176,
title = {Stochastic Optimization Theory of Backward Stochastic Differential Equations Driven by G-Brownian Motion},
author = {Zhonghao Zheng and Xiuchun Bi and Shuguang Zhang},
journal= {arXiv preprint arXiv:1306.0176},
year = {2013}
}
Comments
25 pages