OPTIMAL STOCHASTIC CONTROL PROBLEM UNDER MODEL UNCERTAINTY WITH NONENTROPY PENALTY

DOI10.1142/S0219024917500157zbMath1396.91685arXiv1302.0442OpenAlexW2962820102MaRDI QIDQ2986671

Wahid Faidi, Mohammed Mnif, Anis Matoussi

Publication date: 16 May 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.0442

zbMATH Keywords

backward stochastic differential equationsutility maximizationmodel uncertaintyKnightian uncertaintyrobust stochastic control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Portfolio theory (91G10)

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