Optimal control with delayed information flow of systems driven by G-Brownian motion View Full Text


Ontology type: schema:ScholarlyArticle      Open Access: True


Article Info

DATE

2018-10-20

AUTHORS

Francesca Biagini, Thilo Meyer-Brandis, Bernt Øksendal, Krzysztof Paczka

ABSTRACT

In this paper, we study strongly robust optimal control problems under volatility uncertainty. In the G-framework, we adapt the stochastic maximum principle to find necessary and sufficient conditions for the existence of a strongly robust optimal control.

PAGES

8

References to SciGraph publications

Identifiers

URI

http://scigraph.springernature.com/pub.10.1186/s41546-018-0033-z

DOI

http://dx.doi.org/10.1186/s41546-018-0033-z

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1107741865


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