Robust stochastic control and equivalent martingale measures

DOI10.1007/978-3-0348-0097-6_12MaRDI QIDQ2909982zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

jump diffusionequivalent martingale measurestochastic differential gameworst case scenariorobust stochastic control

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 5638039 (Why is no real title available?)
• A stochastic control approach to a robust utility maximization problem
• Applied stochastic control of jump diffusions
• 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

Cited in

(6)

• Robust utility maximizing strategies under model uncertainty and their convergence
• Robust estimates of certain large deviation probabilities for controlled semi-martingales
• scientific article; zbMATH DE number 3865127 (Why is no real title available?)
• A stochastic control approach to a robust utility maximization problem
• 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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