Risk minimizing portfolios and HJBI equations for stochastic differential games (Q3518568)
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scientific article; zbMATH DE number 5309201
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| English | Risk minimizing portfolios and HJBI equations for stochastic differential games |
scientific article; zbMATH DE number 5309201 |
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Risk minimizing portfolios and HJBI equations for stochastic differential games (English)
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8 August 2008
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convex measure of risk
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monetary utility function
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optimal max-min control
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stochastic differential games
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HJBI equation
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jump diffusion market
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0.8439317345619202
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0.8217401504516602
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0.8213799595832825
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0.8138737082481384
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0.8096668124198914
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