Expected utility maximization problem under state constraints and model uncertainty
DOI10.1007/s10957-019-01583-yzbMath1442.91033OpenAlexW2974958980WikidataQ127200298 ScholiaQ127200298MaRDI QIDQ2278901
Hanen Mezghanni, Mohammed Mnif, Wahid Faidi
Publication date: 11 December 2019
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-019-01583-y
maximum principlerobust controlbackward stochastic differential equationsutility maximizationmodel uncertainty
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Utility theory (91B16) Maximum principles in context of PDEs (35B50) Portfolio theory (91G10)
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