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Mathematics > Optimization and Control

arXiv:2210.07640 (math)
[Submitted on 14 Oct 2022 (v1), last revised 6 Dec 2022 (this version, v3)]

Title:Utility Maximization Problem with Uncertainty and a Jump Setting

Authors:Sarah Kaakai (LMM), Anis Matoussi (LMM), Achraf Tamtalini (LMM)
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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.
Subjects: Optimization and Control (math.OC); Probability (math.PR)
Cite as: arXiv:2210.07640 [math.OC]
  (or arXiv:2210.07640v3 [math.OC] for this version)
  https://doi.org/10.48550/arXiv.2210.07640

Submission history

From: Anis Matoussi [view email] [via CCSD proxy]
[v1] Fri, 14 Oct 2022 08:41:57 UTC (38 KB)
[v2] Tue, 18 Oct 2022 13:12:18 UTC (24 KB)
[v3] Tue, 6 Dec 2022 08:20:15 UTC (24 KB)
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