Forward-backward stochastic differential games and stochastic control under model uncertainty (Q2247914)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Forward-backward stochastic differential games and stochastic control under model uncertainty |
scientific article |
Statements
Forward-backward stochastic differential games and stochastic control under model uncertainty (English)
0 references
30 June 2014
0 references
forward-backward SDEs
0 references
stochastic differential games
0 references
maximum principle
0 references
model uncertainty
0 references
robust control
0 references
viability
0 references
optimal portfolio
0 references
optimal consumption
0 references
jump diffusions
0 references
0 references
0 references
0 references
0 references
