DOI10.1287/moor.2016.0790zbMath1360.91147arXiv1603.08169MaRDI QIDQ2976139
Agostino Capponi, Li Jun Bo
Publication date: 13 April 2017 Published in: Mathematics of Operations Research (Search for Journal in Brave) Full work available at URL: https://arxiv.org/abs/1603.08169
zbMATH Keywords
robust control; credit risk; HJB equations; recursive system
Mathematics Subject Classification ID
93E20: Optimal stochastic control
91G10: Portfolio theory
91G40: Credit risk