Dynamic robust duality in utility maximization (Q519879): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W1659328432
@@ Property / OpenAlex ID: W1659328432 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.5040
@@ Property / arXiv ID: 1304.5040 / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
+Normal rank
@@ Property / cites work @@
+Backward Stochastic Differential Equations in Finance
+Normal rank
@@ Property / cites work @@
+Robust Preferences and Robust Portfolio Choice
@@ Property / cites work: Robust Preferences and Robust Portfolio Choice / rank @@
+Normal rank
@@ Property / cites work @@
+Market viability and martingale measures under partial information
+Normal rank
@@ Property / cites work @@
+Dual Characterization of the Value Function in the Robust Utility Maximization Problem
+Normal rank
@@ Property / cites work @@
+Forward-backward stochastic differential games and stochastic control under model uncertainty
+Normal rank
@@ Property / cites work @@
+Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
+Normal rank
@@ Property / cites work @@
+Arbitrage and equilibrium in economies with infinitely many commodities
+Normal rank
@@ Property / cites work @@
+Exponential utility maximization in an incomplete market with defaults
+Normal rank
@@ Property / cites work @@
+Local martingales, arbitrage, and viability. Free snacks and cheap thrills
+Normal rank
@@ Property / cites work @@
+Applied stochastic control of jump diffusions
@@ Property / cites work: Applied stochastic control of jump diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+Risk minimization in financial markets modeled by Itô-Lévy processes
+Normal rank
@@ Property / cites work @@
+Q3154984
@@ Property / cites work: Q3154984 / rank @@
+Normal rank
@@ Property / cites work @@
+BSDEs with jumps, optimization and applications to dynamic risk measures
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations with jumps and related nonlinear expectations
+Normal rank
@@ Property / cites work @@
+Convex Analysis
@@ Property / cites work: Convex Analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:519879