Stochastic Control of Optimized Certainty Equivalents (Q5097215)
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scientific article; zbMATH DE number 7574016
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic Control of Optimized Certainty Equivalents |
scientific article; zbMATH DE number 7574016 |
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Stochastic Control of Optimized Certainty Equivalents (English)
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22 August 2022
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risk measures
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time-inconsistency
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dynamic programming equation
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comparison principle
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viscosity solutions
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singular Hamiltonian
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