On Relaxed Stochastic Optimal Control for Stochastic Differential Equations Driven by G-Brownian Motion

被引：6

作者：

Redjil, Amel ^{[1
]}

Choutri, Salah Eddine ^{[2
]}

机构：

[1] Badji Mokhtar Univ, Dept Math, Lab Probabil & Stat LaPS, BP 12, Annaba 23000, Algeria

[2] KTH Royal Inst Technol, Dept Math, S-10044 Stockholm, Sweden

来源：

ALEA-LATIN AMERICAN JOURNAL OF PROBABILITY AND MATHEMATICAL STATISTICS | 2018年 / 15卷 / 01期

关键词：

Relaxed optimal control; G-chattering lemma; G-Brownian motion; sublinear expectation; capacity; G-EXPECTATION; CALCULUS;

D O I：

10.30757/ALEA.v15-09

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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

引用

页码：201 / 212

页数：12

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