English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Plus monthly

Global: Zendy Tools annual

Global: Zendy Tools monthly

Global: Zendy Free Plan

We study a problem of utility maximization under model uncertainty withinformation including jumps. We prove first that the value process of therobust stochastic control problem is described by the solution of aquadratic-exponential backward stochastic differential equation with jumps.Then, we establish a dynamic maximum principle for the optimal control of themaximization problem. The characterization of the optimal model and the optimalcontrol (consumption-investment) is given via a forward-backward system whichgeneralizes the result of Duffie and Skiadas (1994) and El Karoui, Peng andQuenez (2001) in the case of maximization of recursive utilities includingmodel with jumps.

Robust utility maximization problem in model with jumps and unbounded claim