45 research outputs found

    Stochastic optimal control problem with infinite horizon driven by G-Brownian motion

    Get PDF
    The present paper considers a stochastic optimal control problem, in which the cost function is defined through a backward stochastic differential equation with infinite horizon driven by G-Brownian motion. Then we study the regularities of the value function and establish the dynamic programming principle. Moreover, we prove that the value function is the uniqueness viscosity solution of the related HJBI equation
    corecore