Robust consumption portfolio optimization with stochastic differential utility (Q2065170)
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scientific article; zbMATH DE number 7453497
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| English | Robust consumption portfolio optimization with stochastic differential utility |
scientific article; zbMATH DE number 7453497 |
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Robust consumption portfolio optimization with stochastic differential utility (English)
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7 January 2022
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stochastic differential utility
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robust control
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stochastic differential games
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HJB(I) equation
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non-Lipschitz condition
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Heston model
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0.852844774723053
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0.8401110768318176
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0.8322442770004272
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0.8282669186592102
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0.8231983184814453
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