论文标题
效用最大化问题与不确定性和跳跃设置
Utility Maximization Problem with Uncertainty and a Jump Setting
论文作者
论文摘要
我们在无限的案例中研究了一个强大的效用最大化问题，并具有一般的罚款项和包括跳跃的信息。我们专注于时间一致的惩罚，并证明存在强大问题的最佳概率度量解决方案。然后，我们将随机控制问题的动态值过程表征为二次指数BSDE的唯一解决方案。
We study a robust utility maximization problem in the unbounded case with a general penalty term and information including jumps. We focus on time consistent penalties and we prove that there exists an optimal probability measure solution of the robust problem. Then, we characterize the dynamic value process of our stochastic control problem as the unique solution of a Quadratic-Exponential BSDE.
