A generalized stochastic differential utility driven by \(G\)-Brownian motion

DOI10.1007/s11579-020-00264-zzbMath1443.91155OpenAlexW3011573116MaRDI QIDQ2190068

Weidong Tian, Qian Lin, De-Jian Tian

Publication date: 18 June 2020

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

Full work available at URL: https://doi.org/10.1007/s11579-020-00264-z

zbMATH Keywords

backward stochastic differential equationambiguity aversion\(G\)-Brownian motionstochastic differential utility

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Portfolio theory (91G10)

Related Items (2)

Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets ⋮ Mean-field backward stochastic differential equations driven by G-Brownian motion with uniformly continuous coefficients

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