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A Stochastic Recursive Optimal Control Problem Under the G-expectation Framework

✍ Scribed by Hu, Mingshang; Ji, Shaolin; Yang, Shuzhen


Book ID
121506728
Publisher
Springer
Year
2014
Tongue
English
Weight
283 KB
Volume
70
Category
Article
ISSN
0095-4616

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## SUMMARY Peng first introduced the notion of G‐Brownian motion and G‐expectation and established the stochastic calculus with respect to G‐Brownian motion in 2006. In this paper, we investigate the stochastic optimal control problems under G‐expectation and obtain dynamic programming principle. T