论文标题
在退化G-Hoppection下的随机最佳控制问题的动态编程原理
Dynamic programming principle for stochastic optimal control problem under degenerate G-expectation
论文作者
论文摘要
在本文中，我们研究了在g-期望下的随机最佳控制问题。通过使用隐含的分区方法，我们表明可允许控件的近似结果仍然存在。基于此结果，我们证明了值函数是确定性的，并获得了动态编程原理。此外，我们证明该值函数是归化情况下相关HJB方程的唯一粘度解决方案。
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.
