Optimal Control for Stochastic Delay Systems Under Model Uncertainty: A Stochastic Differential Game Approach

被引：23
|
作者：
Pamen, Olivier Menoukeu [1 ]
机构：
[1] Univ Liverpool, Dept Math, Inst Financial & Actuarial Math, Liverpool L69 7ZL, Merseyside, England
来源：
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS | 2015年 / 167卷 / 03期
基金：
欧洲研究理事会;
关键词：
Model uncertainty; Optimal control; Stochastic differential utility; Stochastic delay equations; Time advanced BSDEs; Levy processes; MAXIMUM PRINCIPLE; TIME; UTILITY; OPTIMIZATION; MAXIMIZATION;
D O I：
10.1007/s10957-013-0484-4
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
In this paper, we study a robust recursive utility maximization problem for time-delayed stochastic differential equation with jumps. This problem can be written as a stochastic delayed differential game. We suggest a maximum principle of this problem and obtain necessary and sufficient condition of optimality. We apply the result to study a problem of consumption choice optimization under model uncertainty.
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页码：998 / 1031
页数：34
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