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Stochastic optimal control problems under G-expectation

✍ Scribed by Defei Zhang

Publisher
John Wiley and Sons
Year
2011
Tongue
English
Weight
139 KB
Volume
34
Category
Article
ISSN
0143-2087

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✦ Synopsis

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. The value function is proved to be a viscosity solution of a fully nonlinear second‐order partial differential equation. A particular case of this equation is the well‐known Hamilton–Jacobi–Bellman–Isaacs equation. Copyright © 2011 John Wiley & Sons, Ltd.

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