Robust Stochastic Control and Equivalent Martingale Measures

DOI10.1007/978-3-0348-0097-6_12zbMath1248.93174OpenAlexW1760270566MaRDI QIDQ2909982

Agnès Sulem, Bernt 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

zbMATH Keywords

equivalent martingale measurestochastic differential gamejump diffusionworst case scenariorobust stochastic control

Mathematics Subject Classification ID

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)

Related Items (3)

Robust utility maximizing strategies under model uncertainty and their convergence ⋮ A note on the worst case approach for a market with a stochastic interest rate ⋮ Forward-backward stochastic differential games and stochastic control under model uncertainty

Cites Work

• Maximum principle for stochastic differential games with partial information
• Portfolio optimization under model uncertainty and BSDE games
• Risk minimizing portfolios and HJBI equations for stochastic differential games
• Applied stochastic control of jump diffusions
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