Dynamic robust duality in utility maximization

DOI10.1007/s00245-016-9329-5zbMath1361.60047arXiv1304.5040OpenAlexW1659328432MaRDI QIDQ519879

Bernt Øksendal, Agnès Sulem

Publication date: 31 March 2017

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.5040

zbMATH Keywords

stochastic maximum principlebackward stochastic differential equationrobust dualitydynamic duality methodItô-Lévy marketrobust portfolio optimization

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10)

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