A robust investment-consumption optimization problem in a switching regime interest rate setting (Q6173963)
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scientific article; zbMATH DE number 7712383
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| English | A robust investment-consumption optimization problem in a switching regime interest rate setting |
scientific article; zbMATH DE number 7712383 |
Statements
A robust investment-consumption optimization problem in a switching regime interest rate setting (English)
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13 July 2023
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robust optimization
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power utility
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stochastic interest rate
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enlarged filtration
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minimax theorem
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dual problem
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backward stochastic differential equations with jumps (BSDEJs)
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0.8131424784660339
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0.8117281198501587
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0.808908998966217
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0.8051638007164001
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