Total risk aversion, stochastic optimal control, and differential games
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Publication:1813219
DOI10.1007/BF01448203zbMath0830.90144MaRDI QIDQ1813219
R. Jensen, Emmanuel Nicholas Barron
Publication date: 25 June 1992
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
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Connections between stochastic control and dynamic games, On the relation between robust and Bayesian decision making, Total risk aversion and the pricing of options, On total risk aversion and differential games for controlled parabolic equations
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