ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL
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Publication:5247421
DOI10.1111/mafi.12031zbMath1335.91067arXiv1201.0769OpenAlexW1494095174MaRDI QIDQ5247421
Dylan Possamaï, Chao Zhou, Anis Matoussi
Publication date: 24 April 2015
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1201.0769
quadratic growthvolatility uncertaintyrobust utility maximizationsecond-order backward stochastic differential equation
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