Stochastic maximum principle for optimal control problem under G-expectation utility

被引：1

作者：

Dassa, Meriyam ^{[1
]}

Chala, Adel ^{[1
]}

机构：

[1] Univ Mohamed Khider, Lab Appl Math, POB 145, Biskra 07000, Algeria

来源：

RANDOM OPERATORS AND STOCHASTIC EQUATIONS | 2022年 / 30卷 / 02期

关键词：

Sublinear expectation; G-Brownian motion; G-stochastic differential equation; G-stochastic maximum principle; G-BROWNIAN MOTION; DIFFERENTIAL-EQUATIONS DRIVEN; CALCULUS;

D O I：

10.1515/rose-2022-2076

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we are concerned with an optimal control problem where the system is driven by a G-stochastic differential equation, where an admissible set of controls is convex. We establish necessary as well as sufficient optimality conditions for this model. At the end of this work, we illustrate our main result by giving an example that deals with the linear-quadratic problem.

引用

页码：121 / 135

页数：15

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