Economics, Econometrics and Finance
3 years ago

New method unlocks optimal control solutions for complex stochastic systems.

ESAIM Control Optimisation and Calculus of Variations
Dynamic programming principle and Hamilton-Jacobi-Bellman equation under nonlinear expectation
Mingshang Hu, Shaolin Ji, Xiaojuan Li

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The article explores a problem in optimal control using a type of equation called BSDE under G-expectation. By making certain assumptions, the researchers establish a comparison theorem for this equation and develop a new method to find the dynamic programming principle. They also show that the value function is the only solution to a specific type of equation.