Robust utility maximization for a diffusion market model with misspecified coefficients
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Publication:354194
DOI10.1007/s00780-012-0199-7zbMath1270.91027arXiv0911.3043OpenAlexW2592212532MaRDI QIDQ354194
Tamaz Uzunashvili, Teimuraz Toronjadze, Revaz Tevzadze
Publication date: 18 July 2013
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0911.3043
saddle pointHamilton-Jacobi-Bellman-Isaacs equationgeneralized controlmaximin problemrobust utility maximization
Minimax problems in mathematical programming (90C47) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Applications of stochastic analysis (to PDEs, etc.) (60H30) Auctions, bargaining, bidding and selling, and other market models (91B26)
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