Work

Dynamic programming principle for stochastic optimal control problem under degenerate G-expectation

Year: 2022

Type: preprint

Abstract: In this paper, we study a stochastic optimal control problem under degenerate G-expectation. By using implied partition method, we show that the approximation result for admissible controls still hold. Based on this result, we prove that the value function is deterministic, and obtain the dynamic programming principle. Furthermore, we prove that the value function is the unique viscosity solution to the related HJB equation under degenerate case.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.2210.09869

Author: Li, Xiaojuan

Institution: Shandong University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Natural Science Foundation of Shandong Province

Award: G3272072769

OpenAlex ID: W4306892756

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