Robust consumption-investment problems with random market coefficients

DOI10.1007/s11579-012-0073-6zbMath1279.91149OpenAlexW1980943952MaRDI QIDQ1938991

Ulrich Rieder, Christoph Wopperer

Publication date: 26 February 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-012-0073-6

zbMATH Keywords

robust optimizationexponential utilitypower utilityconsumption-investment problemsrandom market coefficientsstochastic Bellman-Isaacs equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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