Optimal control with delayed information flow of systems driven by G-Brownian motion
classification
🧮 math.OC
keywords
controloptimalrobuststronglyadaptbrownianconditionsdelayed
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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.
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