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

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-Bernt Øksendal
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+Lévy Processes and Stochastic Calculus
@@ Property / cites work: Lévy Processes and Stochastic Calculus / rank @@
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+Coherent Measures of Risk
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+Q5436596
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+Controlled Markov processes and viscosity solutions
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+Convex measures of risk and trading constraints
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+Maxmin expected utility with non-unique prior
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+On the minimal entropy martingale measure.
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+Robust utility maximization for complete and incomplete markets
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+Robust utility maximization in a stochastic factor model
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+A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
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+A ``maximum principle for semicontinuous functions'' applicable to integro-partial differential equations
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+OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
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+Differential games of inf-sup type and Isaacs equations
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+Worst-case scenario portfolio optimization: a new stochastic control approach
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+Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
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+MARKET FORCES AND DYNAMIC ASSET PRICING
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+Riccati differential equations
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+Dynamic Minimization of Worst Conditional Expectation of Shortfall
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+Worst case model risk management
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+Publication:3518568