Risk minimizing portfolios and HJBI equations for stochastic differential games (Q3518568)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk minimizing portfolios and HJBI equations for stochastic differential games |
scientific article |
Statements
Risk minimizing portfolios and HJBI equations for stochastic differential games (English)
0 references
8 August 2008
0 references
convex measure of risk
0 references
monetary utility function
0 references
optimal max-min control
0 references
stochastic differential games
0 references
HJBI equation
0 references
jump diffusion market
0 references
