Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space
DOI10.1137/21m1459150zbMath1515.91143OpenAlexW4376115156MaRDI QIDQ6101528
Publication date: 1 June 2023
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/21m1459150
retirementrobust strategyconsumption-investmentreturn ambiguity in primalvolatility ambiguity in dual\(G\)-stopping time
Stopping times; optimal stopping problems; gambling theory (60G40) Free boundary problems for PDEs (35R35) Portfolio theory (91G10) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)
Related Items (2)
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