{
  "id": "1309.0209",
  "version": "v1",
  "published": "2013-09-01T12:04:01.000Z",
  "updated": "2013-09-01T12:04:01.000Z",
  "title": "Optimal stochastic control and optimal consumption and portfolio with G-Brownian motion",
  "authors": [
    "Weiyin Fei",
    "Chen Fei"
  ],
  "comment": "29 pages",
  "categories": [
    "math.OC",
    "math.PR"
  ],
  "abstract": "By the calculus of Peng's G-sublinear expectation and G-Brownian motion on a sublinear expectation space $(\\Omega, {\\cal H}, \\hat{\\mathbb{E}})$, we first set up an optimality principle of stochastic control problem. Then we investigate an optimal consumption and portfolio decision with a volatility ambiguity by the derived verification theorem. Next the two-fund separation theorem is explicitly obtained. And an illustrative example is provided.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2013-09-01T12:04:01.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H30",
      "93E20",
      "91G10"
    ],
    "keywords": [
      "optimal stochastic control",
      "optimal consumption",
      "g-brownian motion",
      "pengs g-sublinear expectation",
      "sublinear expectation space"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 29,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2013arXiv1309.0209F"
    }
  }
}