Stochastic optimal control problems unde
β
Defei Zhang
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Article
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2011
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John Wiley and Sons
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English
β 139 KB
## SUMMARY Peng first introduced the notion of GβBrownian motion and Gβexpectation and established the stochastic calculus with respect to GβBrownian motion in 2006. In this paper, we investigate the stochastic optimal control problems under Gβexpectation and obtain dynamic programming principle. T