Dynamic Programming Principle for Stochastic Recursive Optimal Control Problem under G-framework

Abstract

In this paper, we study a stochastic recursive optimal control problem in which the cost 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 fully nonlinear HJB equation in the framework of G-expectation. Finally, we show that the value function is the viscosity solution of the obtained HJB equation.

29 pages. arXiv admin note: text overlap with arXiv:1306.1312

References in corpus (2)

• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• G-Brownian Motion and Dynamic Risk Measure under Volatility Uncertainty