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Optimal control with delayed information flow of systems driven by G-Brownian motion
Probability, Uncertainty and Quantitative Risk Pub Date : 2018-10-20 , DOI: 10.1186/s41546-018-0033-z
Francesca Biagini , Thilo Meyer-Brandis , Bernt Øksendal , Krzysztof Paczka

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.

中文翻译:

具有G-布朗运动的系统的信息流滞后最优控制。

在本文中,我们研究了波动不确定性下的强鲁棒最优控制问题。在G框架中,我们采用随机最大原理来找到存在强烈鲁棒最优控制的必要条件和充分条件。
更新日期:2018-10-20
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