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.

引用

页码：998 / 1031

页数：34

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