原创力文档dynamic programming principle for stochastic recursive optimal control problem driven by a -brownian motion：（对随机动态规划原理的递归由布朗运动驱动的最优控制问题）.pdfVIP
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dynamic programming principle for stochastic recursive optimal control problem driven by a -brownian motion：（对随机动态规划原理的递归由布朗运动驱动的最优控制问题）
Available online at
ScienceDirect
Stochastic Processes and their Applications 127 (2017) 107–134
/locate/spa
Dynamic programming principle for stochastic
recursive optimal control problem driven by a
G-Brownian motion
a a,b,∗
Mingshang Hu , Shaolin Ji
a Zhongtai Securities Institute for Financial Studies, Shandong University, Jinan, Shandong 250100, PR China
b Institute of Mathematics, Shandong University, Jinan 250100, PR China
Received 7 April 2015; received in revised form 26 May 2016; accepted 1 June 2016
Available online 9 June 2016
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.
c
⃝ 2016 Elsevier B.V. All rights reserved.
MSC: 93E20; 60H10; 35K15
Keywords: G -expectation; Backward stochastic differential equations; Stochastic recursive optimal control; Robust
control; Dynamic programming principle
1. Introduction
It is well known that Duffie and Epstein [ 10] introduced a stochastic differential recursive
utility which corresponds to the solution of a particular backward stochastic differential equation
∗ Corresponding author at: Zhongt
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