ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL (Q5247421): Difference between revisions
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scientific article; zbMATH DE number 6430115
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL |
scientific article; zbMATH DE number 6430115 |
Statements
ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL (English)
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24 April 2015
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second-order backward stochastic differential equation
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quadratic growth
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robust utility maximization
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volatility uncertainty
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