Robust Stochastic Control and Equivalent Martingale Measures
DOI10.1007/978-3-0348-0097-6_12zbMath1248.93174OpenAlexW1760270566MaRDI QIDQ2909982
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
equivalent martingale measurestochastic differential gamejump diffusionworst case scenariorobust stochastic control
Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Stochastic integral equations (60H20)
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