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Paper detail

Optimal stochastic control and optimal consumption and portfolio with G-Brownian motion

By the calculus of Peng's G-sublinear expectation and G-Brownian motion on a sublinear expectation space $(Ω, {\cal H}, \hat{\mathbb{E}})$, we first set up an optimality principle of stochastic control problem. Then we investigate an optimal consumption and portfolio decision with a volatility ambiguity by the derived verification theorem. Next the two-fund separation theorem is explicitly obtained. And an illustrative example is provided.

preprint2013arXivOpen access
Weiyin FeiChen Fei
math.OCmath.PR
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Weiyin FeiChen Fei

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