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Optimal control with delayed information flow of systems driven by G-Brownian motion 被引量:1

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摘要 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.
出处 《Probability, Uncertainty and Quantitative Risk》 2018年第1期229-252,共24页 概率、不确定性与定量风险(英文)
基金 The research leading to these results received funding from the European Research Council under the European Community’s Seventh Framework Program(FP7/2007-2013)/ERC grant agreement 228087.
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