Stochastic optimal control problem with infinite horizon driven by G-Brownian motion

Abstract

The present paper considers a stochastic optimal control problem, in which the cost function is defined through a backward stochastic differential equation with infinite horizon driven by G-Brownian motion. Then we study the regularities of the value function and establish the dynamic programming principle. Moreover, we prove that the value function is the uniqueness viscosity solution of the related HJBI equation.

References in corpus (4)

• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• Dynamic Programming Principle for Stochastic Recursive Optimal Control Problem under G-framework
• Viscosity Solutions of Fully Nonlinear Elliptic Path Dependent PDEs
• Ergodic BSDEs driven by G-Brownian motion and their applications