Robust time-inconsistent stochastic control problems (Q1797115)
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scientific article; zbMATH DE number 6957835
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| English | Robust time-inconsistent stochastic control problems |
scientific article; zbMATH DE number 6957835 |
Statements
Robust time-inconsistent stochastic control problems (English)
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17 October 2018
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stochastic control
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robustness
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time-inconsistent preference
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state-dependence
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Hamilton-Jacobi-Bellman-Isaacs equations
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robust dynamic mean-variance portfolio
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0.8611589074134827
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0.8444198369979858
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0.8368573784828186
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0.8256856203079224
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0.8206272721290588
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