Stochastic Optimal Control Problem with Obstacle Constraints in Sublinear Expectation Framework
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- Hu, Mingshang & Ji, Shaolin, 2017. "Dynamic programming principle for stochastic recursive optimal control problem driven by a G-Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 127(1), pages 107-134.
- Ariel Neufeld & Mario Sikic, 2016. "Robust Utility Maximization in Discrete-Time Markets with Friction," Papers 1610.09230, arXiv.org, revised May 2018.
- Li, Hanwu & Peng, Shige & Soumana Hima, Abdoulaye, 2018. "Reflected Solutions of BSDEs Driven by $\textit{G}$-Brownian Motion," Center for Mathematical Economics Working Papers 590, Center for Mathematical Economics, Bielefeld University.
- Ariel Neufeld & Marcel Nutz, 2018. "Robust Utility Maximization With Lã‰Vy Processes," Mathematical Finance, Wiley Blackwell, vol. 28(1), pages 82-105, January.
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