A robust investment-consumption optimization problem in a switching regime interest rate setting

DOI10.1007/s10898-023-01273-0zbMath1520.91411MaRDI QIDQ6173963

Bogdan Iftimie

Publication date: 13 July 2023

Published in: Journal of Global Optimization (Search for Journal in Brave)

zbMATH Keywords

dual problemminimax theoremrobust optimizationstochastic interest ratepower utilityenlarged filtrationbackward stochastic differential equations with jumps (BSDEJs)

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47) Optimality conditions and duality in mathematical programming (90C46) Optimal stochastic control (93E20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Duality theory (optimization) (49N15)

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