Dynamic programming principle for stochastic recursive optimal control problem driven by a G-Brownian motion
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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Volume (Year): 127 (2017)
Issue (Month): 1 ()
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