Robust Control Problems of BSDEs Coupled with Value Functions (Q6169621): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Theory of the Term Structure of Interest Rates / rank
 
Normal rank
Property / cites work
 
Property / cites work: Controlled Markov processes and viscosity solutions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward stochastic differential equations coupled with value function and related optimal control problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fully coupled forward-backward SDEs involving the value function and associated nonlocal Hamilton−Jacobi−Bellman equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: BSDEs in games, coupled with the value functions, associated nonlocal Bellman-Isaacs equations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4002114 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Consumption-portfolio optimization with recursive utility in incomplete markets / rank
 
Normal rank
Property / cites work
 
Property / cites work: SOME NEW RESULTS IN THE THEORY OF CONTROLLED DIFFUSION PROCESSES / rank
 
Normal rank
Property / cites work
 
Property / cites work: Controlled reflected mean-field backward stochastic differential equations coupled with value function and related PDEs / rank
 
Normal rank
Property / cites work
 
Property / cites work: ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimum consumption and portfolio rules in a continuous-time model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust consumption portfolio optimization with stochastic differential utility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model / rank
 
Normal rank

Latest revision as of 15:13, 2 August 2024

scientific article; zbMATH DE number 7726719
Language Label Description Also known as
English
Robust Control Problems of BSDEs Coupled with Value Functions
scientific article; zbMATH DE number 7726719

    Statements

    Robust Control Problems of BSDEs Coupled with Value Functions (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    15 August 2023
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    robust control problems
    0 references
    ambiguity
    0 references
    Heston models
    0 references
    backward stochastic differential equations coupled with value functions
    0 references
    Hamilton-Jacobi-Bellman-Isaacs equations
    0 references
    verification theorem
    0 references
    0 references