Stochastic Optimization Theory of Backward Stochastic Differential Equations Driven by G-Brownian Motion
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-expectatio...
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| Format: | Article |
| Language: | English |
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Wiley
2013-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2013/564524 |
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| _version_ | 1849473285700452352 |
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| author | Zhonghao Zheng Xiuchun Bi Shuguang Zhang |
| author_facet | Zhonghao Zheng Xiuchun Bi Shuguang Zhang |
| author_sort | Zhonghao Zheng |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-d3a8e9fde9a6457aad4d1b3a6e2e09c1 |
| institution | Kabale University |
| issn | 1085-3375 1687-0409 |
| language | English |
| publishDate | 2013-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Abstract and Applied Analysis |
| spelling | doaj-art-d3a8e9fde9a6457aad4d1b3a6e2e09c12025-08-20T03:24:12ZengWileyAbstract and Applied Analysis1085-33751687-04092013-01-01201310.1155/2013/564524564524Stochastic Optimization Theory of Backward Stochastic Differential Equations Driven by G-Brownian MotionZhonghao Zheng0Xiuchun Bi1Shuguang Zhang2School of Mathematical Sciences, Xiamen University, Xiamen 361005, ChinaDepartment of Statistics and Finance, University of Science and Technology of China, Hefei 230026, ChinaDepartment of Statistics and Finance, University of Science and Technology of China, Hefei 230026, ChinaWe 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.http://dx.doi.org/10.1155/2013/564524 |
| spellingShingle | Zhonghao Zheng Xiuchun Bi Shuguang Zhang Stochastic Optimization Theory of Backward Stochastic Differential Equations Driven by G-Brownian Motion Abstract and Applied Analysis |
| title | Stochastic Optimization Theory of Backward Stochastic Differential Equations Driven by G-Brownian Motion |
| title_full | Stochastic Optimization Theory of Backward Stochastic Differential Equations Driven by G-Brownian Motion |
| title_fullStr | Stochastic Optimization Theory of Backward Stochastic Differential Equations Driven by G-Brownian Motion |
| title_full_unstemmed | Stochastic Optimization Theory of Backward Stochastic Differential Equations Driven by G-Brownian Motion |
| title_short | Stochastic Optimization Theory of Backward Stochastic Differential Equations Driven by G-Brownian Motion |
| title_sort | stochastic optimization theory of backward stochastic differential equations driven by g brownian motion |
| url | http://dx.doi.org/10.1155/2013/564524 |
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