Optimal control with delayed information flow of systems driven by G-Brownian motion

dc.contributor.author	Biagini, Francesca
dc.contributor.author	Meyer-Brandis, Thilo
dc.contributor.author	Øksendal, Bernt
dc.contributor.author	Paczka, Krzysztof
dc.date.accessioned	2018-10-23T05:02:13Z
dc.date.available	2018-10-23T05:02:13Z
dc.date.issued	2018
dc.identifier.citation	Probability, Uncertainty and Quantitative Risk. 2018 Oct 20;3(1):8
dc.identifier.uri	http://hdl.handle.net/10852/65220
dc.description.abstract	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.
dc.language.iso	eng
dc.rights	The Author(s); licensee Springer International Publishing Ltd.
dc.rights	Attribution 4.0 International
dc.rights.uri	http://creativecommons.org/licenses/by/4.0/
dc.title	Optimal control with delayed information flow of systems driven by G-Brownian motion
dc.type	Journal article
dc.date.updated	2018-10-23T05:02:14Z
dc.creator.author	Biagini, Francesca
dc.creator.author	Meyer-Brandis, Thilo
dc.creator.author	Øksendal, Bernt
dc.creator.author	Paczka, Krzysztof
dc.identifier.doi	https://doi.org/10.1186/s41546-018-0033-z
dc.identifier.urn	URN:NBN:no-67771
dc.type.document	Tidsskriftartikkel
dc.type.peerreviewed	Peer reviewed
dc.identifier.fulltext	Fulltext https://www.duo.uio.no/bitstream/handle/10852/65220/1/41546_2018_Article_33.pdf
dc.type.version	PublishedVersion
cristin.articleid	8