OPTIMAL STOCHASTIC CONTROL PROBLEM UNDER MODEL UNCERTAINTY WITH NONENTROPY PENALTY (Q2986671): Difference between revisions
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Revision as of 17:16, 11 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTIMAL STOCHASTIC CONTROL PROBLEM UNDER MODEL UNCERTAINTY WITH NONENTROPY PENALTY |
scientific article |
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OPTIMAL STOCHASTIC CONTROL PROBLEM UNDER MODEL UNCERTAINTY WITH NONENTROPY PENALTY (English)
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16 May 2017
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robust stochastic control
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model uncertainty
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Knightian uncertainty
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backward stochastic differential equations
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utility maximization
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