Expected utility maximization problem under state constraints and model uncertainty (Q2278901)

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scientific article; zbMATH DE number 7142459
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    Expected utility maximization problem under state constraints and model uncertainty
    scientific article; zbMATH DE number 7142459

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      Expected utility maximization problem under state constraints and model uncertainty (English)
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      11 December 2019
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      A robust expected utility maximization problem under state constraints over a finite horizon is studied. The problem is a consumption-investment utility problem, which includes financial models with constrained portfolios, labour income and large investor models. Mathematical formulation leads to a stochastic control problem. The existence and uniqueness of its solution is proved. The structure of the solution is described using duality. An application example with convex constraints on the portfolio under state constraints is studied. Perspectives of further research are briefly outlined in the conclusions.
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      utility maximization
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      backward stochastic differential equations
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      model uncertainty
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      robust control
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      maximum principle
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