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Pré-Publication, Document De Travail Année : 2018

Optimal stochastic control problem under model uncertainty with non-entropic penalty

Anis Matoussi

Résumé

In this paper, a stochastic control problem under model uncertainty with general penalty term is studied. Two types of penalties are considered. The first one is of type f-divergence penalty treated in the general framework of a continuous filtration. The second one called consistent time penalty studied in the context of a Brownian filtration. In the case of consistent time penalty, we characterize the value process of our stochastic control problem as the unique solution of a class of quadratic backward stochastic differential equation with unbounded terminal condition.

Dates et versions

hal-01740667 , version 1 (22-03-2018)

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Anis Matoussi. Optimal stochastic control problem under model uncertainty with non-entropic penalty. 2018. ⟨hal-01740667⟩
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