Worst case model risk management

DOI10.1007/s007800200074zbMath1039.91031OpenAlexW2056197533MaRDI QIDQ1424697

Ziyu Zheng, Denis Talay

Publication date: 16 March 2004

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800200074

zbMATH Keywords

stochastic differential gamemodel riskHamilton-Jacobi-Bellman-Isaacs equation

Mathematics Subject Classification ID

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