Robust utility maximization under model uncertainty via a penalization approach
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Publication:2120592
DOI10.1007/s11579-021-00301-5zbMath1484.91421arXiv1907.13345OpenAlexW3192666670MaRDI QIDQ2120592
Nicolas Langrené, Ivan Guo, Grégoire Loeper, Wei Ning
Publication date: 1 April 2022
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1907.13345
Differential games and control (49N70) 2-person games (91A05) Stochastic games, stochastic differential games (91A15) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)
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Uses Software
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