Abstract and Applied Analysis

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

Zhonghao Zheng, Xiuchun Bi, and Shuguang Zhang

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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.

Article information

Source
Abstr. Appl. Anal., Volume 2013, Special Issue (2013), Article ID 564524, 11 pages.

Dates
First available in Project Euclid: 26 February 2014

Permanent link to this document
https://projecteuclid.org/euclid.aaa/1393449389

Digital Object Identifier
doi:10.1155/2013/564524

Mathematical Reviews number (MathSciNet)
MR3096818

Zentralblatt MATH identifier
1293.49037

Citation

Zheng, Zhonghao; Bi, Xiuchun; Zhang, Shuguang. Stochastic Optimization Theory of Backward Stochastic Differential Equations Driven by G-Brownian Motion. Abstr. Appl. Anal. 2013, Special Issue (2013), Article ID 564524, 11 pages. doi:10.1155/2013/564524. https://projecteuclid.org/euclid.aaa/1393449389


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