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

  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
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  • 2007G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type621 cited
  • 2019Nonlinear Expectations and Stochastic Calculus under Uncertainty594 cited
  • 2010Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths570 cited
  • 2008Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation556 cited
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  • 1992A Generalized dynamic programming principle and hamilton-jacobi-bellman equation296 cited
  • 2011Wellposedness of second order backward SDEs289 cited
  • 2013Ambiguous Volatility and Asset Pricing in Continuous Time236 cited
  • 2010Martingale representation theorem for the G -expectation

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201 cited
  • 2008Stochastic Differential Games and Viscosity Solutions of Hamilton–Jacobi–Bellman–Isaacs Equations200 cited
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