Utility Maximization Problem with Uncertainty and a Jump Setting
Optimization and Control
2022-12-07 v3 Probability
Abstract
We study a robust utility maximization problem in the unbounded case with a general penalty term and information including jumps. We focus on time consistent penalties and we prove that there exists an optimal probability measure solution of the robust problem. Then, we characterize the dynamic value process of our stochastic control problem as the unique solution of a Quadratic-Exponential BSDE.
Cite
@article{arxiv.2210.07640,
title = {Utility Maximization Problem with Uncertainty and a Jump Setting},
author = {Sarah Kaakai and Anis Matoussi and Achraf Tamtalini},
journal= {arXiv preprint arXiv:2210.07640},
year = {2022}
}