Robust utility maximization for a diffusion market model with misspecified coefficients
From MaRDI portal
Publication:354194
DOI10.1007/s00780-012-0199-7zbMath1270.91027arXiv0911.3043MaRDI QIDQ354194
Tamaz Uzunashvili, Teimuraz Toronjadze, Revaz Tevzadze
Publication date: 18 July 2013
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0911.3043
saddle point; Hamilton-Jacobi-Bellman-Isaacs equation; generalized control; maximin problem; robust utility maximization
90C47: Minimax problems in mathematical programming
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91B16: Utility theory
60H30: Applications of stochastic analysis (to PDEs, etc.)
91B26: Auctions, bargaining, bidding and selling, and other market models
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