ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL (Q5247421)
From MaRDI portal
scientific article; zbMATH DE number 6430115
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL |
scientific article; zbMATH DE number 6430115 |
Statements
ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL (English)
0 references
24 April 2015
0 references
second-order backward stochastic differential equation
0 references
quadratic growth
0 references
robust utility maximization
0 references
volatility uncertainty
0 references
