Optimal stochastic control problem under model uncertainty with nonentropy penalty
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Abstract: In this paper, a stochastic control problem under model uncertainty with general penalty term is studied. Two types of penalties are considered. The first one is of type f-divergence penalty treated in the general framework of a continuous filtration. The second one called consistent time penalty studied in the context of a Brownian filtration. In the case of consistent time penalty, we characterize the value process of our stochastic control problem as the unique solution of a class of quadratic backward stochastic differential equation with unbounded terminal condition.
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Cited in
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- A note on the strong formulation of stochastic control problems with model uncertainty
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- Pricing Principle via Tsallis Relative Entropy in Incomplete Markets
- Optimal investment and consumption under logarithmic utility and uncertainty model
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