Stochastic Optimization Theory of Backward Stochastic Differential Equations Driven by G‐Brownian Motion

Zhonghao Zheng, Xiuchun Bi and Shuguang Zhang

Abstract and Applied Analysis, 2013, vol. 2013, issue 1

Abstract: 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 Hu et al. (2012), we can investigate the more general stochastic optimal control problems under G‐expectation than that were constructed in Zhang (2011). 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.

Date: 2013
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https://doi.org/10.1155/2013/564524

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnlaaa:v:2013:y:2013:i:1:n:564524

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