Maximum principle for robust utility optimization via Tsallis relative entropy
Fuente:
arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2025
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| Acceso en línea: | |
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| _version_ | 1866908558393606144 |
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| author | Huang, Xueying Luo, Peng Tian, Dejian |
| author_facet | Huang, Xueying Luo, Peng Tian, Dejian |
| contents | This paper investigates an optimal consumption-investment problem featuring recursive utility via Tsallis relative entropy. We establish a fundamental connection between this optimization problem and a quadratic backward stochastic differential equation (BSDE), demonstrating that the value function is the value process of the solution to this BSDE. Utilizing advanced BSDE techniques, we derive a novel stochastic maximum principle that provides necessary conditions for both the optimal consumption process and terminal wealth. Furthermore, we prove the existence of optimal strategy and analyze the coupled forward-backward system arising from the optimization problem. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2509_20888 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Maximum principle for robust utility optimization via Tsallis relative entropy Huang, Xueying Luo, Peng Tian, Dejian Mathematical Finance 93E20, 60J60, 35B50 This paper investigates an optimal consumption-investment problem featuring recursive utility via Tsallis relative entropy. We establish a fundamental connection between this optimization problem and a quadratic backward stochastic differential equation (BSDE), demonstrating that the value function is the value process of the solution to this BSDE. Utilizing advanced BSDE techniques, we derive a novel stochastic maximum principle that provides necessary conditions for both the optimal consumption process and terminal wealth. Furthermore, we prove the existence of optimal strategy and analyze the coupled forward-backward system arising from the optimization problem. |
| title | Maximum principle for robust utility optimization via Tsallis relative entropy |
| topic | Mathematical Finance 93E20, 60J60, 35B50 |
| url | https://arxiv.org/abs/2509.20888 |