Dynamic programming principle for stochastic recursive optimal control problem driven by a G-Brownian motion

Mingshang Hu and Shaolin Ji

Stochastic Processes and their Applications, 2017, vol. 127, issue 1, 107-134

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.

Keywords: G-expectation; Backward stochastic differential equations; Stochastic recursive optimal control; Robust control; Dynamic programming principle (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.spa.2016.06.002

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