Optimal control with delayed information flow of systems driven by G-Brownian motion

被引：7

作者：

Biagini, Francesca ^{[1
,2
]}

Meyer-Brandis, Thilo ^{[3
]}

Oksendal, Bernt ^{[2
]}

Paczka, Krzysztof ^{[2
]}

机构：

[1] Ludwig Maximilians Univ Munchen, Dept Math, Theresienstr 39, D-80333 Munich, Germany

[2] Univ Oslo, Dept Math, POB 1053 Blindern, N-0316 Oslo, Norway

[3] Univ Munich, Dept Math, Theresienstr 39, D-80333 Munich, Germany

来源：

PROBABILITY UNCERTAINTY AND QUANTITATIVE RISK | 2018年 / 3卷

基金：

欧洲研究理事会;

关键词：

G-Brownian motion; optimal control problem; stochastic maximum principle;

D O I：

10.1186/s41546-018-0033-z

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 this paper, we study strongly robust optimal control problems under volatility uncertainty. In the G-framework, we adapt the stochastic maximum principle to find necessary and sufficient conditions for the existence of a strongly robust optimal control.

引用

页数：24

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