Title of article :
Stochastic maximum principle for optimal control with multiple priors
Author/Authors :
Xu، نويسنده , , Yuhong، نويسنده ,
Issue Information :
ماهنامه با شماره پیاپی سال 2014
Abstract :
The necessary condition is derived for optimal control with multiple priors which are mutually singular. The tool we use is the theory of G -expectation.
Keywords :
Stochastic maximum principle , Multiple priors , g -expectation , G -Brownian motion
Journal title :
Systems and Control Letters
Journal title :
Systems and Control Letters
