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

Olivier Menoukeu Pamen ()
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Olivier Menoukeu Pamen: University of Liverpool

Journal of Optimization Theory and Applications, 2015, vol. 167, issue 3, No 15, 998-1031

Abstract: Abstract 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.

Keywords: Model uncertainty; Optimal control; Stochastic differential utility; Stochastic delay equations; Time advanced BSDEs; Lévy processes (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (10)

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DOI: 10.1007/s10957-013-0484-4

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