Optimal stochastic control problem under model uncertainty with non-entropic penalty

Wahid Faidi; Anis Matoussi; Mohamed Mnif

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arXiv · 1302.0442

Optimal stochastic control problem under model uncertainty with non-entropic penalty

Wahid Faidi·Anis Matoussi·Mohamed Mnif

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Abstract

In this paper, a stochastic control problem under model uncertainty with general penalty term is studied. Two types of penalties are considered. The first one is of type f-divergence penalty treated in the general framework of a continuous filtration. The second one called consistent time penalty studied in the context of a Brownian filtration. In the case of consistent time penalty, we characterize the value process of our stochastic control problem as the unique solution of a class of quadratic backward stochastic differential equation with unbounded terminal condition.

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Wahid Faidi, Anis Matoussi, Mohamed Mnif. 2013-02-03. Optimal stochastic control problem under model uncertainty with non-entropic penalty. https://arxiv.org/abs/1302.0442

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