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Stochastic Optimization Theory of Backward Stochastic Differential Equations Driven by G-Brownian Motion

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  • Zhonghao Zheng
  • Xiuchun Bi
  • Shuguang Zhang

Abstract

We consider the stochastic optimal control problems under G-expectation. Based on the theory of backward stochastic differential equations driven by G-Brownian motion, which was introduced in Hu et al. (2012), we can investigate the more general stochastic optimal control problems under G-expectation than that were constructed in Zhang (2011). Then we obtain a generalized dynamic programming principle, and the value function is proved to be a viscosity solution of a fully nonlinear second-order partial differential equation.

Suggested Citation

  • Zhonghao Zheng & Xiuchun Bi & Shuguang Zhang, 2013. "Stochastic Optimization Theory of Backward Stochastic Differential Equations Driven by G-Brownian Motion," Abstract and Applied Analysis, Hindawi, vol. 2013, pages 1-11, September.
    • Handle: RePEc:hin:jnlaaa:564524
    DOI: 10.1155/2013/564524
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