Utility Maximization Problem with Uncertainty and a Jump Setting - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2022

Utility Maximization Problem with Uncertainty and a Jump Setting

Résumé

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.
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Dates et versions

hal-03813812 , version 1 (13-10-2022)
hal-03813812 , version 2 (17-10-2022)
hal-03813812 , version 3 (25-11-2022)

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Sarah Kaakai, Anis Matoussi, Achraf Tamtalini. Utility Maximization Problem with Uncertainty and a Jump Setting. 2022. ⟨hal-03813812v3⟩
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