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A stochastic recursive optimal control problem under the G-expectation framework (1306.1312v1)
Published 6 Jun 2013 in math.OC
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.