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

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

doi:10.1186/s41546-018-0033-z

Article Contents

2018, Volume 3: 8. Doi: 10.1186/s41546-018-0033-z

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

1. Department of Mathematics, LMU Munich, Theresienstraße 39, 80333 Munich, Germany;
2. Department of Mathematics, University of Oslo, P. O. Box 1053 Blindern, N-0316 Oslo, Norway;
3. Department of Mathematics, University of Munich, Theresienstraße 39, 80333 Munich, Germany

Francesca Biagini, biagini@math.lmu.de

Received: September 13, 2017

Revised: September 18, 2018

Published: September 2020

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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.

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Mathematics Subject Classification: 60H99;93E20.

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References

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