Robust utility maximization for a diffusion market model with misspecified coefficients (Q354194): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2592212532 / rank | |||
Normal rank |
Revision as of 21:08, 19 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Robust utility maximization for a diffusion market model with misspecified coefficients |
scientific article |
Statements
Robust utility maximization for a diffusion market model with misspecified coefficients (English)
0 references
18 July 2013
0 references
maximin problem
0 references
saddle point
0 references
Hamilton-Jacobi-Bellman-Isaacs equation
0 references
robust utility maximization
0 references
generalized control
0 references