Expected utility maximization problem under state constraints and model uncertainty

DOI10.1007/s10957-019-01583-yzbMath1442.91033MaRDI QIDQ2278901

Mohammed Mnif, Wahid Faidi, Hanen Mezghanni

Publication date: 11 December 2019

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-019-01583-y

zbMATH Keywords

maximum principle; robust control; backward stochastic differential equations; utility maximization; model uncertainty

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91B70: Stochastic models in economics

91B16: Utility theory

35B50: Maximum principles in context of PDEs

91G10: Portfolio theory