A stochastic recursive optimal control problem under the G-expectation framework

Mingshang Hu; Shaolin Ji; Shuzhen Yang

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arXiv · 1306.1312

A stochastic recursive optimal control problem under the G-expectation framework

Mingshang Hu·Shaolin Ji·Shuzhen Yang

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Abstract

In this paper, we study a stochastic recursive optimal control problem in which the objective 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 Hamilton-Jacobi-Bellman (HJB) equation in the framework of G-expectation. Finally, we show that the value function is the viscosity solution of the obtained HJB equation.

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Mingshang Hu, Shaolin Ji, Shuzhen Yang. 2013-06-06. A stochastic recursive optimal control problem under the G-expectation framework. https://arxiv.org/abs/1306.1312

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