A robust investment-consumption optimization problem in a switching regime interest rate setting (Q6173963)
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scientific article; zbMATH DE number 7712383
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A robust investment-consumption optimization problem in a switching regime interest rate setting |
scientific article; zbMATH DE number 7712383 |
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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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