Optimal Control for Stochastic Delay Systems Under Model Uncertainty: A Stochastic Differential Game Approach

摘要

In this paper, we study a robust recursive utility maximization problem for time-delayed stochastic differential equation with jumps. This problem can be written as a stochastic delayed differential game. We suggest a maximum principle of this problem and obtain necessary and sufficient condition of optimality. We apply the result to study a problem of consumption choice optimization under model uncertainty.