Applied Mathematics and Optimization, Vol.70, No.2, 253-278, 2014
A Stochastic Recursive Optimal Control Problem Under the G-expectation Framework
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 -Brownian motion. Under standard assumptions, we establish the dynamic programming principle and the related Hamilton-Jacobi-Bellman (HJB) equation in the framework of -expectation. Finally, we show that the value function is the viscosity solution of the obtained HJB equation.
Keywords:G-expectation;Backward stochastic differential equations;Stochastic optimal control;Dynamic programming principle;Viscosity solution