Utility maximization underg*-expectation
DOI10.1080/07362994.2016.1165121zbMath1344.35152OpenAlexW2418053049MaRDI QIDQ3185982
Dewen Xiong, Yongxu Jiang, Lihe Wang, Peng Luo
Publication date: 8 August 2016
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2016.1165121
Statistical methods; risk measures (91G70) Utility theory (91B16) Generalizations of martingales (60G48) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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