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ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES - MaRDI portal

ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES (Q4635032)

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scientific article; zbMATH DE number 6859718
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ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES
scientific article; zbMATH DE number 6859718

    Statements

    title
    ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES (English)
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    author
    Ariel Neufeld
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    Marcel Nutz
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    publication date
    13 April 2018
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    zbMATH Keywords
    utility maximization
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    Knightian uncertainty
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    nonlinear Lévy process
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    Identifiers

    DOI
    10.1111/mafi.12139
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    Mathematics Subject Classification ID
    91G10
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    60G51
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    91B16
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    zbMATH DE Number
    6859718
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    OpenAlex ID
    W2963239993
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    arXiv ID
    1502.05920
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