Robust Control Problems of BSDEs Coupled with Value Functions

DOI10.1137/22m1511977zbMath1520.91378arXiv2208.10735MaRDI QIDQ6169621

Zhou Yang, Jing Zhang, Chao Zhou

Publication date: 15 August 2023

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2208.10735

zbMATH Keywords

ambiguity; verification theorem; robust control problems; Hamilton-Jacobi-Bellman-Isaacs equations; backward stochastic differential equations coupled with value functions; Heston models

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G10: Portfolio theory

Cites Work

• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
• Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
• Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
• Backward stochastic differential equations coupled with value function and related optimal control problems
• BSDEs in games, coupled with the value functions, associated nonlocal Bellman-Isaacs equations
• Consumption-portfolio optimization with recursive utility in incomplete markets
• Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
• Robust consumption portfolio optimization with stochastic differential utility
• Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty
• Controlled reflected mean-field backward stochastic differential equations coupled with value function and related PDEs
• Controlled Markov processes and viscosity solutions
• Fully coupled forward-backward SDEs involving the value function and associated nonlocal Hamilton−Jacobi−Bellman equations
• A Theory of the Term Structure of Interest Rates
• SOME NEW RESULTS IN THE THEORY OF CONTROLLED DIFFUSION PROCESSES
• ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL
• Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach