Stochastic optimal control problem with infinite horizon driven by G-Brownian motion
Stochastic optimal control problem with infinite horizon driven by G-Brownian motion
复制标题
G-布朗运动驱动的无限视野随机最优控制问题
DOI：
10.1051/cocv/2017044
复制
发表时间：
2018
期刊：
影响因子：
--
通讯作者：
Falei Wang
中科院分区：
文献类型：
--
作者：
Mingshang Hu;Falei Wang
本文考虑随机最优控制问题，其中成本函数通过由 G 布朗运动驱动的无限视野的向后随机微分方程来定义。然后研究价值函数的规律并建立动态规划原理。此外，我们还证明了该值函数是相关HJBI方程的唯一粘度解。
The present paper considers a stochastic optimal control problem, in which the cost function is defined through a backward stochastic differential equation with infinite horizon driven by G-Brownian motion. Then we study the regularities of the value function and establish the dynamic programming principle. Moreover, we prove that the value function is the uniqueness viscosity solution of the related HJBI equation.