A stochastic recursive optimal control problem under the G-expectation framework

Abstract

In this paper, we study a stochastic recursive optimal control problem in which the objective functional is described by the solution of a backward stochastic differential equation driven by G-Brownian motion. Under standard assumptions, we establish the dynamic programming principle and the related Hamilton-Jacobi-Bellman (HJB) equation in the framework of G-expectation. Finally, we show that the value function is the viscosity solution of the obtained HJB equation.

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Cited by in corpus (1)

• A Stochastic Maximum Principle for Processes Driven by G-Brownian Motion and Applications to Finance