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A Stochastic Recursive Optimal Control Problem Under the G-expectation Framework · Study

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ArticleA Stochastic Recursive Optimal Control Problem Under the G-expectation Framework

Mingshang Hu2014

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Articlegreen2014

A Stochastic Recursive Optimal Control Problem Under the G-expectation Framework

Mingshang Hu · Shaolin Ji · Shuzhen Yang

35 citations·0/0 files stored·Applied Mathematics & Optimization

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Stochastic processes and financial applications Fuzzy Systems and Optimization Adaptive Dynamic Programming Control

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References

2005Controlled Markov Processes and Viscosity Solutions 1990Adapted solution of a backward stochastic differential equation 1997Backward Stochastic Differential Equations in Finance 1999Stochastic controls : Hamiltonian systems and HJB equations 1999Stochastic Controls 1992Stochastic Differential Utility 2007G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type 2019Nonlinear Expectations and Stochastic Calculus under Uncertainty

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Year2014

Typearticle

Published2014-02-10

VenueApplied Mathematics & Optimization

ISSN-L0095-4616

Languageen

Citations35

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00245-014-9242-8

openalex_workW1978011944

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