Forward-backward SDE games and stochastic control under model uncertainty

@inproceedings{ksendal2011ForwardbackwardSG,
  title={Forward-backward SDE games and stochastic control under model uncertainty},
  author={Bernt \Oksendal and Agn{\`e}s Sulem},
  year={2011}
}
We study optimal stochastic control problems under model uncertainty. We rewrite such problems as (zero-sum) stochastic differential games of forward-backward stochastic differential equations. We prove general stochastic maximum principles for such games, both in the zero-sum case (finding conditions for saddle points) and for the non-zero sum games (finding conditions for Nash equilibria). We then apply these results to study optimal portfolio and consumption problems under model uncertainty… CONTINUE READING

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