Robust utility maximization problem in model with jumps and unbounded claim

Authors Monique Jeanblanc, Anis Matoussi, Armand Ngoupeyou

Publication date 12 January 2012

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: We study a problem of utility maximization under model uncertainty with information including jumps. We prove first that the value process of the robust stochastic control problem is described by the solution of a quadratic-exponential backward stochastic differential equation with jumps. Then, we establish a dynamic maximum principle for the optimal control of the maximization problem. The characterization of the optimal model and the optimal control (consumption-investment) is given via a forward-backward system which generalizes the result of Duffie and Skiadas (1994) and El Karoui, Peng and Quenez (2001) in the case of maximization of recursive utilities including model with jumps.

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