{"paper":{"title":"A Stochastic Maximum Principle for Processes Driven by G-Brownian Motion and Applications to Finance","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"math.OC","authors_text":"Junyi Guo, Xin Zhang, Zhongyang Sun","submitted_at":"2014-02-27T06:11:14Z","abstract_excerpt":"In this paper, we consider the stochastic optimal control problems under model risk caused by uncertain volatilities. To have a mathematical consistent framework we use the notion of G-expectation and its corresponding G-Brwonian motion introduced by Peng(2007). Based on the theory of stochastic differential equations on a sublinear expectation space $(\\Omega,\\mathcal{H},\\hat{\\mathbb{E}})$, we prove a stochastic maximum principle for controlled processes driven by G-Brownian motion. Then we obtain the maximum condition in terms of the $\\mathcal{H}$-function plus some convexity conditions const"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1402.6793","kind":"arxiv","version":3},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}