A stochastic control approach to a robust utility maximization problem (Q5436596)
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scientific article; zbMATH DE number 5227617
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| English | A stochastic control approach to a robust utility maximization problem |
scientific article; zbMATH DE number 5227617 |
Statements
17 January 2008
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robust control
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model uncertainty
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quadratic BSDE
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stochastic control
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relative entropy
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entropic penalty
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martingale optimality principle
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utility maximization
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multiple priors
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robust utility
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0.856348991394043
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0.8368202447891235
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0.8338161110877991
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0.8281065821647644
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0.8120725750923157
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