{
  "id": "1201.2690",
  "version": "v4",
  "published": "2012-01-12T21:32:49.000Z",
  "updated": "2016-10-10T07:26:40.000Z",
  "title": "Robust utility maximization problem in model with jumps and unbounded claim",
  "authors": [
    "Monique Jeanblanc",
    "Anis Matoussi",
    "Armand Ngoupeyou"
  ],
  "comment": "35 pages",
  "categories": [
    "math.PR"
  ],
  "abstract": "We study a problem of utility maximization under model uncertainty with information including jumps. We prove first that the value process of the robust stochastic control problem is described by the solution of a quadratic-exponential backward stochastic differential equation with jumps. Then, we establish a dynamic maximum principle for the optimal control of the maximization problem. The characterization of the optimal model and the optimal control (consumption-investment) is given via a forward-backward system which generalizes the result of Duffie and Skiadas (1994) and El Karoui, Peng and Quenez (2001) in the case of maximization of recursive utilities including model with jumps.",
  "revisions": [
    {
      "version": "v3",
      "updated": "2013-01-28T22:15:27.000Z",
      "title": "Robust utility maximization problem in a discontinuous filtration",
      "comment": "34 pages",
      "journal": null,
      "doi": null
    },
    {
      "version": "v4",
      "updated": "2016-10-10T07:26:40.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60H10",
      "60H30"
    ],
    "keywords": [
      "robust utility maximization problem",
      "discontinuous filtration",
      "optimal control",
      "quadratic-exponential backward stochastic differential equation",
      "robust stochastic control problem"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 35,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2012arXiv1201.2690J"
    }
  }
}