A stochastic maximum principle for processes driven by <i>G</i>‐Brownian motion and applications to finance (Q4599839)
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scientific article; zbMATH DE number 6822272
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stochastic maximum principle for processes driven by <i>G</i>‐Brownian motion and applications to finance |
scientific article; zbMATH DE number 6822272 |
Statements
A stochastic maximum principle for processes driven by <i>G</i>‐Brownian motion and applications to finance (English)
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5 January 2018
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ambiguous volatility
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G-Brownian motion
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G-expectation
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model uncertainty
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stochastic maximum principle
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stochastic optimal control
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