Discrete-time approximation for stochastic optimal control problems under the $G$-expectation framework

Lianzi Jiang

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arXiv · 2104.02268

Discrete-time approximation for stochastic optimal control problems under the $G$-expectation framework

Lianzi Jiang

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Abstract

In this paper, we propose a class of discrete-time approximation schemes for stochastic optimal control problems under the $G$-expectation framework. The proposed schemes are constructed recursively based on piecewise constant policy. We prove the convergence of the discrete schemes and determine the convergence rates. Several numerical examples are presented to illustrate the effectiveness of the obtained results.

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Lianzi Jiang. 2021-04-06. Discrete-time approximation for stochastic optimal control problems under the $G$-expectation framework. https://arxiv.org/abs/2104.02268

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