STOCHASTIC MAXIMUM PRINCIPLE FOR STOCHASTIC RECURSIVE OPTIMAL CONTROL PROBLEM UNDER VOLATILITY AMBIGUITY

被引：26

作者：

Hu, Mingshang ^{[1
]}

Ji, Shaolin ^{[1
]}

机构：

[1] Shandong Univ, Qilu Inst Finance, Jinan 250100, Peoples R China

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2016年 / 54卷 / 02期

关键词：

backward stochastic differential equations; volatility ambiguity; G-expectation; maximum principle; robust control; DIFFERENTIAL-EQUATIONS; THEOREM; DRIVEN;

D O I：

10.1137/15M1037639

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

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. Some of the economic and financial optimization problems with volatility ambiguity can be formulated as such problems. Unlike the classical variational approach, we establish the maximum principle by the linearization and weak convergence methods.

引用

页码：918 / 945

页数：28

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