ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL (Q5247421): Difference between revisions

@@ Property / arXiv ID @@
+.0769
@@ Property / arXiv ID: 1201.0769 / rank @@
+Normal rank
@@ Property / cites work @@
+Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
+Normal rank
@@ Property / cites work @@
+Conjugate convex functions in optimal stochastic control
+Normal rank
@@ Property / cites work @@
+BSDE with quadratic growth and unbounded terminal value
+Normal rank
@@ Property / cites work @@
+Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
+Normal rank
@@ Property / cites work @@
+Convex duality in constrained portfolio optimization
+Normal rank
@@ Property / cites work @@
+A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Pricing Via Utility Maximization and Entropy
@@ Property / cites work: Pricing Via Utility Maximization and Entropy / rank @@
+Normal rank
@@ Property / cites work @@
+Ambiguous volatility, possibility and utility in continuous time
+Normal rank
@@ Property / cites work @@
+BSDEs in utility maximization with BMO market price of risk
+Normal rank
@@ Property / cites work @@
+Maxmin expected utility with non-unique prior
@@ Property / cites work: Maxmin expected utility with non-unique prior / rank @@
+Normal rank
@@ Property / cites work @@
+Robust utility maximization for complete and incomplete markets
+Normal rank
@@ Property / cites work @@
+Robust control and model misspecification
@@ Property / cites work: Robust control and model misspecification / rank @@
+Normal rank
@@ Property / cites work @@
+Utility maximization in incomplete markets
@@ Property / cites work: Utility maximization in incomplete markets / rank @@
+Normal rank
@@ Property / cites work @@
+Random \(G\)-expectations
@@ Property / cites work: Random \(G\)-expectations / rank @@
+Normal rank
@@ Property / cites work @@
+Adapted solution of a backward stochastic differential equation
+Normal rank
@@ Property / cites work @@
+A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
+Normal rank
@@ Property / cites work @@
+Duality theory for optimal investments under model uncertainty
+Normal rank
@@ Property / cites work @@
+Robust control and recursive utility
@@ Property / cites work: Robust control and recursive utility / rank @@
+Normal rank
@@ Property / cites work @@
+Quasi-sure stochastic analysis through aggregation
+Normal rank
@@ Property / cites work @@
+Wellposedness of second order backward SDEs
@@ Property / cites work: Wellposedness of second order backward SDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Worst case model risk management
@@ Property / cites work: Worst case model risk management / rank @@
+Normal rank
@@ Property / cites work @@
+Solvability of backward stochastic differential equations with quadratic growth
+Normal rank
@@ Property / cites work @@
+Robust utility maximization for a diffusion market model with misspecified coefficients
+Normal rank
@@ Property / cites work @@
+Q5844986
@@ Property / cites work: Q5844986 / rank @@
+Normal rank
@@ Property / cites work @@
+Consumption-Investment Models with Constraints
@@ Property / cites work: Consumption-Investment Models with Constraints / rank @@
+Normal rank