Abstract
This paper is concerned with optimal control of systems driven by G-stochastic differential equations (G-SDEs), with controlled jump term. We study the relaxed problem, in which admissible controls are measure-valued processes and the state variable is governed by an G-SDE\ driven by a counting measure valued process called relaxed Poisson measure such that the compensator is a product measure. Under some conditions on the coefficients, using the G-chattering lemma, we show that the strict and the relaxed control problems have the same value function. Additionally, we derive a maximum principle for this control problem.
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 callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
