Robust Optimization of Credit Portfolios (Q2976139)

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Robust Optimization of Credit Portfolios
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    title
    Robust Optimization of Credit Portfolios (English)
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    author
    Agostino Capponi
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    Li Jun Bo
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    publication date
    13 April 2017
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    Mathematics Subject Classification ID
    91G40
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    91G10
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    93E20
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    zbMATH DE Number
    6705632
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    zbMATH Keywords
    robust control
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    credit risk
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    recursive system
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    HJB equations
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