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