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

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

Abstract 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.

Bibliographic Details
Main Authors: Francesca Biagini, Thilo Meyer-Brandis, Bernt Øksendal, Krzysztof Paczka
Format: Article
Language:English
Published: SpringerOpen 2018-10-01
Series:Probability, Uncertainty and Quantitative Risk
Subjects:
G-Brownian motion
optimal control problem
stochastic maximum principle
Online Access:http://link.springer.com/article/10.1186/s41546-018-0033-z

Internet

http://link.springer.com/article/10.1186/s41546-018-0033-z

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