Stochastic Optimization Theory of Backward Stochastic Differential Equations Driven by G-Brownian Motion

Abstract EN

We consider the stochastic optimal control problems under G-expectation.

Based on the theory of backward stochastic differential equations driven by G-Brownian motion, which was introduced in Hu et al.

(2012), we can investigate the more general stochastic optimal control problems under G-expectation than that were constructed in Zhang (2011).

Then we obtain a generalized dynamic programming principle, and the value function is proved to be a viscosity solution of a fully nonlinear second-order partial differential equation.