Risk minimizing portfolios and HJBI equations for stochastic differential games (Q3518568): Difference between revisions

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Latest revision as of 13:21, 28 June 2024

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Risk minimizing portfolios and HJBI equations for stochastic differential games
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    Risk minimizing portfolios and HJBI equations for stochastic differential games (English)
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    8 August 2008
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    convex measure of risk
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    monetary utility function
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    optimal max-min control
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    stochastic differential games
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    HJBI equation
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    jump diffusion market
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