OPTIMAL STOCHASTIC CONTROL PROBLEM UNDER MODEL UNCERTAINTY WITH NONENTROPY PENALTY (Q2986671): Difference between revisions

@@ Property / cites work @@
+Monotone stability of quadratic semimartingales with applications to unbounded general quadratic BSDEs
+Normal rank
@@ Property / cites work @@
+Q5436596
@@ Property / cites work: Q5436596 / rank @@
+Normal rank
@@ Property / cites work @@
+Quadratic BSDEs with convex generators and unbounded terminal conditions
+Normal rank
@@ Property / cites work @@
+Optimal consumption strategies under model uncertainty
+Normal rank
@@ Property / cites work @@
+Q5539510
@@ Property / cites work: Q5539510 / rank @@
+Normal rank
@@ Property / cites work @@
+Backward SDEs with superquadratic growth
@@ Property / cites work: Backward SDEs with superquadratic growth / rank @@
+Normal rank
@@ Property / cites work @@
+Q3925594
@@ Property / cites work: Q3925594 / rank @@
+Normal rank
@@ Property / cites work @@
+Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
+Normal rank
@@ Property / cites work @@
+Robust projections in the class of martingale measures
+Normal rank
@@ Property / cites work @@
+The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
+Normal rank
@@ Property / cites work @@
+Maxmin expected utility with non-unique prior
@@ Property / cites work: Maxmin expected utility with non-unique prior / rank @@
+Normal rank
@@ Property / cites work @@
+Robust control and model misspecification
@@ Property / cites work: Robust control and model misspecification / rank @@
+Normal rank
@@ Property / cites work @@
+Utility maximization in incomplete markets
@@ Property / cites work: Utility maximization in incomplete markets / rank @@
+Normal rank
@@ Property / cites work @@
+OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
+Normal rank
@@ Property / cites work @@
+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
+Normal rank
@@ Property / cites work @@
+Temporal Resolution of Uncertainty and Dynamic Choice Theory
+Normal rank
@@ Property / cites work @@
+Robust Portfolio Choice and Indifference Valuation
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Q3154984
@@ Property / cites work: Q3154984 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4000065
@@ Property / cites work: Q4000065 / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Via Utility Maximization and Entropy
@@ Property / cites work: Pricing Via Utility Maximization and Entropy / rank @@
+Normal rank
@@ Property / cites work @@
+Robust optimal control for a consumption-investment problem
+Normal rank
@@ Property / cites work @@
+Duality theory for optimal investments under model uncertainty
+Normal rank
@@ Property / cites work @@
+Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences.
+Normal rank
@@ Property / cites work @@
+Robust control and recursive utility
@@ Property / cites work: Robust control and recursive utility / rank @@
+Normal rank
@@ Property / cites work @@
+Q5605051
@@ Property / cites work: Q5605051 / rank @@
+Normal rank
@@ Property / cites work @@
+Robust optimization of consumption with random endowment
+Normal rank