Stochastic maximum principle for optimal control with multiple priors

被引：5
作者：
Xu, Yuhong [1 ,2 ,3 ,4 ]
机构：
[1] Soochow Univ, Math Ctr Interdiscipline Res, Suzhou 215006, Peoples R China
[2] Soochow Univ, Sch Math Sci, Suzhou 215006, Peoples R China
[3] Univ Brest, Lab Math Bretagne Atlantique, F-29200 Brest, France
[4] Shandong Univ, Inst Math, Jinan 250100, Peoples R China
来源：
SYSTEMS & CONTROL LETTERS | 2014年 / 64卷
关键词：
Stochastic maximum principle; Multiple priors; G-expectation; G-Brownian motion;
D O I：
10.1016/j.sysconle.2013.12.001
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
The necessary condition is derived for optimal control with multiple priors which are mutually singular. The tool we use is the theory of G-expectation. (C) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码：114 / 118
页数：5
相关论文
共 14 条
[1]  
[Anonymous], 1995, Applied Mathematical Finance, DOI DOI 10.1080/13504869500000005
[2]  
Bensoussan A., 1981, LECT NOTES MATH, V972
[3]   A stochastic maximum principle for systems with jumps, with applications to finance [J].
Cadenillas, A .
SYSTEMS & CONTROL LETTERS, 2002, 47 (05) :433-444
[4]  
Epstein L.G., 2011, ARXIV11031652V6QFING
[5]  
Hu M., 2009, ACTA MATH APPL SIN-E, V25, P1
[6]   Stopping times and related Ito's calculus with G-Brownian motion [J].
Li, Xinpeng ;
Peng, Shige .
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2011, 121 (07) :1492-1508
[7]  
Nutz M., 2010, ARXIV10112958V1QFINR
[8]  
Peng S., 2011, ARXIV10024546V1MATHP
[9]   BACKWARD STOCHASTIC DIFFERENTIAL-EQUATIONS AND APPLICATIONS TO OPTIMAL-CONTROL [J].
PENG, SG .
APPLIED MATHEMATICS AND OPTIMIZATION, 1993, 27 (02) :125-144
[10]   A GENERAL STOCHASTIC MAXIMUM PRINCIPLE FOR OPTIMAL-CONTROL PROBLEMS [J].
PENG, SG .
SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 1990, 28 (04) :966-979
12