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Dynamic Programming Principle for Stochastic Recursive Optimal Control Problem under G-framework
- Publication Year :
- 2014
-
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.<br />Comment: 29 pages. arXiv admin note: text overlap with arXiv:1306.1312
- Subjects :
- Mathematics - Optimization and Control
93E20, 60H10, 35K15
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.1410.3538
- Document Type :
- Working Paper