English

The perturbation method applied to a robust optimization problem with constraint

Optimization and Control 2024-02-14 v1 Probability

Abstract

The present paper studies a kind of robust optimization problems with constraint. The problem is formulated through Backward Stochastic Differential Equations (BSDEs) with quadratic generators. A necessary condition is established for the optimal solution using a terminal perturbation method and properties of Bounded Mean Oscillation (BMO) martingales. The necessary condition is further proved to be sufficient for the existence of an optimal solution under an additional convexity assumption. Finally, the optimality condition is applied to discuss problems of partial hedging with ambiguity, fundraising under ambiguity and randomized testing problems for a quadratic gg-expectation.

Keywords

Cite

@article{arxiv.2402.08260,
  title  = {The perturbation method applied to a robust optimization problem with constraint},
  author = {Peng Luo and Alexander Schied and Xiaole Xue},
  journal= {arXiv preprint arXiv:2402.08260},
  year   = {2024}
}

Comments

20 pages,0 figures

R2 v1 2026-06-28T14:47:01.767Z