4 papers
q-fin.MF2025
Optimal investment and consumption under - expected utility and general constraints in incomplete market
Wahid Faidi
This article studies the problem of utility maximization in an incomplete market under a class of nonlinear expectations and general constraints on trading strategies. Using a -…
math.PR2023
BDG inequality for G-martingale
Wahid Faidi
In this work we establish an BDG inequality type for certain nonlinear martingale arizing from BSDE.
q-fin.MF2022
Optimal investment and consumption under logarithmic utility and uncertainty model
Wahid Faidi
We study a robust utility maximization problem in the case of an incomplete market and logarithmic utility with general stochastic constraints, not necessarily convex. Our problem…
math.PR2013
Optimal stochastic control problem under model uncertainty with non-entropic penalty
Wahid Faidi, Anis Matoussi, Mohamed Mnif
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-divergen…