Abstract

In this article, we study the relaxed control problem where the admissible controls are measure-valued processes and the state variable is governed by a G-stochastic differential equation (SDEs) driven by a relaxed Poisson measure where the compensator is a product measure. The control variable appears in the drift and in the jump term. We prove that every solution of our SDE associated to a relaxed control can be written as a limit of a sequence of solutions of SDEs associated to strict controls (stability results). In the end, we show the existence of our relaxed control.

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call