2013/02/02 by Wahid Faidi, Faidi, Wahid, Anis Matoussi +3
Economics, Econometrics and Finance · Decision Sciences · #Stochastic processes and financial applications #Risk and Portfolio Optimization
paper · pdf · doi:10.48550/arxiv.1302.0442
In this paper, a stochastic control problem under model uncertainty with\ngeneral penalty term is studied. Two types of penalties are considered. The\nfirst one is of type f-divergence penalty treated in the general framework of a\ncontinuous filtration. The second one called consistent time penalty studied in\nthe context of a Brownian filtration. In the case of consistent time penalty,\nwe characterize the value process of our stochastic control problem as the\nunique solution of a class of quadratic backward stochastic differential\nequation with unbounded terminal condition.\n