Robust optimal control for a consumption-investment problem

DOI10.1007/s00186-007-0172-yzbMath1145.91027OpenAlexW2052438825MaRDI QIDQ2482684

Alexander Schied

Publication date: 23 April 2008

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2007-026.pdf

zbMATH Keywords

Robust controlIncomplete marketsConvex dualityStochastic volatilityCoherent risk measuresModel uncertaintyOptimal consumption

Mathematics Subject Classification ID

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