Optimal stochastic control and optimal consumption and portfolio with G-Brownian motion
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Publication:3385097
zbMath1488.93187arXiv1309.0209MaRDI QIDQ3385097
Publication date: 17 December 2021
Full work available at URL: https://arxiv.org/abs/1309.0209
HJB equation\(G\)-Brownian motion\(G\)-stochastic differential equationoptimal consumption and portfoliosublinear expectation space
Optimal stochastic control (93E20) Consumer behavior, demand theory (91B42) Portfolio theory (91G10) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)
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