Robust stochastic control and equivalent martingale measures
DOI10.1007/978-3-0348-0097-6_12zbMATH Open1248.93174OpenAlexW1760270566MaRDI QIDQ2909982FDOQ2909982
Authors: Agnès Sulem, B. Øksendal 
Publication date: 7 September 2012
Published in: Stochastic Analysis with Financial Applications (Search for Journal in Brave)
Full work available at URL: https://hal.inria.fr/inria-00573117/file/RR7557.pdf
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jump diffusionequivalent martingale measurestochastic differential gameworst case scenariorobust stochastic control
Processes with independent increments; Lévy processes (60G51) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Optimal stochastic control (93E20) Stochastic integral equations (60H20)
Cites Work
- Applied stochastic control of jump diffusions
- Portfolio optimization under model uncertainty and BSDE games
- Risk minimizing portfolios and HJBI equations for stochastic differential games
- A stochastic control approach to a robust utility maximization problem
- Title not available (Why is that?)
- Maximum principle for stochastic differential games with partial information
Cited In (6)
- Robust utility maximizing strategies under model uncertainty and their convergence
- Robust estimates of certain large deviation probabilities for controlled semi-martingales
- A stochastic control approach to a robust utility maximization problem
- Title not available (Why is that?)
- Forward-backward stochastic differential games and stochastic control under model uncertainty
- A note on the worst case approach for a market with a stochastic interest rate
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