Robust utility maximization in a discontinuous filtration

Details Robust utility maximization in a discontinuous filtration Robust utility maximization in a discontinuous filtration

2012-01-12

arxiv.org/abs/1201.2690v2

Mathematics

Probability

34 pages

Scientific paper

We study a problem of utility maximization under model uncertainty with information including jumps. We prove first that the value process of the robust stochastic control problem is described by the solution of a quadratic-exponential backward stochastic differential equation with jumps. Then, we establish a dynamic maximum principle for the optimal control of the maximization problem. The characterization of the optimal model and the optimal control (consumption-investment) is given via a forward-backward system which generalizes the result of Duffie and Skiadas (1994) and El Karoui, Peng and Quenez (2001) in the case of maximization of recursive utilities including model with jumps.

Affiliated with

Also associated with

No associations

Rating

Robust utility maximization in a discontinuous filtration does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Robust utility maximization in a discontinuous filtration, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Robust utility maximization in a discontinuous filtration will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-467907