{"paper":{"title":"Optimal stochastic control problem under model uncertainty with non-entropic penalty","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"math.PR","authors_text":"Anis Matoussi, Mohamed Mnif, Wahid Faidi","submitted_at":"2013-02-03T01:12:19Z","abstract_excerpt":"In this paper, a stochastic control problem under model uncertainty with general penalty term is studied. Two types of penalties are considered. The first one is of type f-divergence penalty treated in the general framework of a continuous filtration. The second one called consistent time penalty studied in the context of a Brownian filtration. In the case of consistent time penalty, we characterize the value process of our stochastic control problem as the unique solution of a class of quadratic backward stochastic differential equation with unbounded terminal condition."},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1302.0442","kind":"arxiv","version":6},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}