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

作     者：Francesca Biagini Thilo Meyer-Brandis BerntØksendal Krzysztof Paczka 

作者机构：Department of MathematicsLMU MunichTheresienstraße 3980333 MunichGermany Department of MathematicsUniversity of OsloP.O.Box 1053 BlindernN-0316 OsloNorway Department of MathematicsUniversity of MunichTheresienstraße 3980333 MunichGermany 

出 版 物：《Probability, Uncertainty and Quantitative Risk》 (概率、不确定性与定量风险（英文）)

年 卷 期：2018年第3卷第1期

页      面：229-252页

学科分类：07[理学] 0714[理学-统计学（可授理学、经济学学位）] 0701[理学-数学] 070101[理学-基础数学] 

基　　金：The research leading to these results received funding from the European Research Council under the European Community’s Seventh Framework Program(FP7/2007-2013)/ERC grant agreement 228087 

主　　题：G-Brownian motion optimal control problem stochastic maximum principle 

摘      要：In this paper,we study strongly robust optimal control problems under volatility *** the G-framework,we adapt the stochastic maximum principle to find necessary and sufficient conditions for the existence of a strongly robust optimal control.