Robust maximization of asymptotic growth under covariance uncertainty
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Publication:373833
DOI10.1214/12-AAP887zbMath1287.60081arXiv1107.2988OpenAlexW3121619238MaRDI QIDQ373833
Publication date: 25 October 2013
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1107.2988
growth rateasymptoticcontinuous selectionminmaxsmooth domainsolution of martingale problemviscosity sense
Martingales with continuous parameter (60G44) Nonlinear spectral theory, nonlinear eigenvalue problems (47J10) Stochastic integrals (60H05) Optimality conditions for minimax problems (49K35) Stochastic integral equations (60H20)
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