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

Zhonghao Zheng; Xiuchun Bi; Shuguang Zhang

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arXiv · 1306.0176

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

Zhonghao Zheng·Xiuchun Bi·Shuguang Zhang

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Abstract

In this paper, 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 [10.11], we can investigate the more general stochastic optimal control problems under G-expectation than that were constructed in [28]. 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.

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BibTeX RIS

Zhonghao Zheng, Xiuchun Bi, Shuguang Zhang. 2013-08-16. Stochastic Optimization Theory of Backward Stochastic Differential Equations Driven by G-Brownian Motion. https://arxiv.org/abs/1306.0176

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