scientific article; zbMATH DE number 5227617

Giuliana Bordigoni, Anis Matoussi, Martin Schweizer

Publication date: 17 January 2008

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

relative entropy robust control stochastic control utility maximization model uncertainty multiple priors quadratic BSDE robust utility entropic penalty martingale optimality principle

Mathematics Subject Classification ID

Sensitivity (robustness) (93B35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Control/observation systems with incomplete information (93C41) Utility theory (91B16) Optimal stochastic control (93E20)

Related Items (36)

A control approach to robust utility maximization with logarithmic utility and time-consistent penalties ⋮ Robust expected utility maximization with medial limits ⋮ Robust Stochastic Control and Equivalent Martingale Measures ⋮ Robust measurement of (heavy-tailed) risks: theory and implementation ⋮ Robust utility maximization for a diffusion market model with misspecified coefficients ⋮ A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications ⋮ Stochastic Control of Optimized Certainty Equivalents ⋮ Characterization of fully coupled FBSDE in terms of portfolio optimization ⋮ Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences—Stochastic Factor Case ⋮ Minimax identity with robust utility functional for a nonconcave utility ⋮ A robust investment-consumption optimization problem in a switching regime interest rate setting ⋮ Risk minimizing portfolios and HJBI equations for stochastic differential games ⋮ OPTIMAL STOCHASTIC CONTROL PROBLEM UNDER MODEL UNCERTAINTY WITH NONENTROPY PENALTY ⋮ Existence and uniqueness results for BSDE with jumps: the whole nine yards ⋮ 44th seminar on probability. Including papers from the `Journées de Probabilités', Dijon, France, June 2010 ⋮ Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption ⋮ Optimal investments for risk- and ambiguity-averse preferences: a duality approach ⋮ Forward-backward stochastic differential games and stochastic control under model uncertainty ⋮ Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals ⋮ The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims ⋮ Utility Maximization Under Trading Constraints with Discontinuous Utility ⋮ Expected utility maximization problem under state constraints and model uncertainty ⋮ Dynamically consistent investment under model uncertainty: the robust forward criteria ⋮ Robust Utility Maximization without Model Compactness ⋮ A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim ⋮ Pricing and hedging in incomplete markets with model uncertainty ⋮ ROBUST EXPONENTIAL HEDGING AND INDIFFERENCE VALUATION ⋮ A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models ⋮ PORTFOLIO OPTIMIZATION UNDER NONLINEAR UTILITY ⋮ Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization ⋮ Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs ⋮ Adaptive Robust Control under Model Uncertainty ⋮ Robust utility maximization under convex portfolio constraints ⋮ Infinite horizon optimal control of forward-backward stochastic differential equations with delay ⋮ Portfolio liquidation under factor uncertainty ⋮ Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach

This page was built for publication: