A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models (Q4958395)
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scientific article; zbMATH DE number 7392181
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models |
scientific article; zbMATH DE number 7392181 |
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A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models (English)
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8 September 2021
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forward performance process
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model uncertainty
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self-generating stochastic differential game
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ergodic BSDE
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ergodic risk-sensitive stochastic differential game
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