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arXiv · 1702.08735

On relaxed stochastic optimal control for stochastic differential equations driven by G-Brownian motion

Amel Redjil·Salah Eddine Choutri
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Abstract

In the G-framework, we establish existence of an optimal stochastic relaxed control for stochastic differential equations driven by a G-Brownian motion.

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Amel Redjil, Salah Eddine Choutri. 2017-02-28. On relaxed stochastic optimal control for stochastic differential equations driven by G-Brownian motion. https://arxiv.org/abs/1702.08735

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