Robust Consumption-Investment Problem on Infinite Horizon

被引：0
|
作者：
Dariusz Zawisza
机构：
[1] Jagiellonian University in Krakow,Institute of Mathematics, Faculty of Mathematics and Computer Science
来源：
Applied Mathematics & Optimization | 2015年 / 72卷
关键词：
Robust optimization; Stochastic differential games ; Model uncertainty; Optimal consumption; Portfolio optimization; 91G80; 91G10; 91A15; 91A25; 49N90; 49N60;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In our paper we consider an infinite horizon consumption-investment problem under a model misspecification in a general stochastic factor model. We formulate the problem as a stochastic game and finally characterize the saddle point and the value function of that game using an ODE of semilinear type, for which we provide a proof of an existence and uniqueness theorem for its solution. Such equation is interested on its own right, since it generalizes many other equations arising in various infinite horizon optimization problems.
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页码：469 / 491
页数：22
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