ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL (Q5247421)

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scientific article; zbMATH DE number 6430115
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ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL
scientific article; zbMATH DE number 6430115

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    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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