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Stochastic Optimization Theory of Backward Stochastic Differential Equations Driven by G‐Brownian Motion

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Listed:
  • Zhonghao Zheng
  • Xiuchun Bi
  • Shuguang Zhang

Abstract

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.

Suggested Citation

  • Zhonghao Zheng & Xiuchun Bi & Shuguang Zhang, 2013. "Stochastic Optimization Theory of Backward Stochastic Differential Equations Driven by G‐Brownian Motion," Abstract and Applied Analysis, John Wiley & Sons, vol. 2013(1).
    • Handle: RePEc:wly:jnlaaa:v:2013:y:2013:i:1:n:564524
    DOI: 10.1155/2013/564524
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    References listed on IDEAS

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    3. Duffie, Darrell & Epstein, Larry G, 1992. "Asset Pricing with Stochastic Differential Utility," The Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 411-436.
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