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arXiv · 1410.3538

Dynamic Programming Principle for Stochastic Recursive Optimal Control Problem under G-framework

Mingshang Hu·Shaolin Ji
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Abstract

In this paper, we study a stochastic recursive optimal control problem in which the cost 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 fully nonlinear 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. 2014-10-13. Dynamic Programming Principle for Stochastic Recursive Optimal Control Problem under G-framework. https://arxiv.org/abs/1410.3538

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