{"title":"Stochastic maximum principle for optimal control problem under G-expectation utility","authors":"Meriyam Dassa, A. Chala","doi":"10.1515/rose-2022-2076","DOIUrl":null,"url":null,"abstract":"Abstract In this paper, we are concerned with an optimal control problem where the system is driven by a G-stochastic differential equation, where an admissible set of controls is convex. We establish necessary as well as sufficient optimality conditions for this model. At the end of this work, we illustrate our main result by giving an example that deals with the linear-quadratic problem.","PeriodicalId":43421,"journal":{"name":"Random Operators and Stochastic Equations","volume":"30 1","pages":"121 - 135"},"PeriodicalIF":0.3000,"publicationDate":"2022-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Random Operators and Stochastic Equations","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1515/rose-2022-2076","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
引用次数: 0
Abstract
Abstract In this paper, we are concerned with an optimal control problem where the system is driven by a G-stochastic differential equation, where an admissible set of controls is convex. We establish necessary as well as sufficient optimality conditions for this model. At the end of this work, we illustrate our main result by giving an example that deals with the linear-quadratic problem.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
