Existence of relaxed stochastic optimal control for G-SDEs with controlled jumps-Reference-Cited by-同舟云学术

Existence of relaxed stochastic optimal control for G-SDEs with controlled jumps

Published:2021-10-26 Issue: Volume: Page:1-19
ISSN:0736-2994
Container-title:Stochastic Analysis and Applications
language:en
Short-container-title:Stochastic Analysis and Applications

Author:

Redjil A.¹,Gherbal H. B.²,Kebiri O.³

Affiliation:

1. Laboratory of Probability and Statistics (LaPS), Department of Mathematics, Badji Mokhtar University, Annaba, Algeria

2. École Normale Sup érieure de Ouargla, Ouargla, Algeria

3. Brandenburgische Technische Universität Cottbus-Senftenberg, Cottbus, Germany

Publisher

Informa UK Limited

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07362994.2021.1991809

Reference33 articles.

1. G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type

2. Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation

3. A theoretical framework for the pricing of contingent claims in the presence of model uncertainty

4. Fleming, W. H. (1976). Generalized solutions in optimal stochastic control. Technical report, BROWN UNIV PROVIDENCE RI LEFSCHETZ CENTER FOR DYNAMICAL SYSTEMS.

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