{
  "id": "1606.01491",
  "version": "v1",
  "published": "2016-06-05T11:07:39.000Z",
  "updated": "2016-06-05T11:07:39.000Z",
  "title": "Stochastic optimal control problem with infinite horizon driven by G-Brownian motion",
  "authors": [
    "Mingshang Hu",
    "Falei Wang"
  ],
  "categories": [
    "math.PR",
    "math.OC"
  ],
  "abstract": "The present paper considers a stochastic optimal control problem, in which the cost function is defined through a backward stochastic differential equation with infinite horizon driven by G-Brownian motion. Then we study the regularities of the value function and establish the dynamic programming principle. Moreover, we prove that the value function is the uniqueness viscosity solution of the related HJBI equation.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2016-06-05T11:07:39.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "93E20",
      "60H10",
      "35J60"
    ],
    "keywords": [
      "stochastic optimal control problem",
      "infinite horizon driven",
      "g-brownian motion",
      "value function",
      "uniqueness viscosity solution"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}