کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1157014 958915 2007 21 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
چکیده انگلیسی

We propose a stochastic control approach to the dynamic maximization of robust utility functionals that are defined in terms of logarithmic utility and a dynamically consistent convex risk measure. The underlying market is modeled by a diffusion process whose coefficients are driven by an external stochastic factor process. In particular, the market model is incomplete. Our main results give conditions on the minimal penalty function of the robust utility functional under which the value function of our problem can be identified with the unique classical solution of a quasilinear PDE within a class of functions satisfying certain growth conditions. The fact that we obtain classical solutions rather than viscosity solutions facilitates the use of numerical algorithms, whose applicability is demonstrated in examples.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 117, Issue 8, August 2007, Pages 980–1000
نویسندگان
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