{
  "id": "1306.0176",
  "version": "v2",
  "published": "2013-06-02T06:35:02.000Z",
  "updated": "2013-08-16T04:55:11.000Z",
  "title": "Stochastic Optimization Theory of Backward Stochastic Differential Equations Driven by G-Brownian Motion",
  "authors": [
    "Zhonghao Zheng",
    "Xiuchun Bi",
    "Shuguang Zhang"
  ],
  "comment": "25 pages",
  "categories": [
    "math.PR"
  ],
  "abstract": "In this paper, 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 [10.11], we can investigate the more general stochastic optimal control problems under G-expectation than that were constructed in [28]. 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.",
  "revisions": [
    {
      "version": "v2",
      "updated": "2013-08-16T04:55:11.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H10",
      "60H05",
      "65C30"
    ],
    "keywords": [
      "backward stochastic differential equations driven",
      "stochastic optimization theory",
      "stochastic optimal control problems",
      "g-brownian motion",
      "second-order partial differential equation"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 25,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2013arXiv1306.0176Z"
    }
  }
}