Nonconcave Robust Utility Maximization under Projective Determinacy

arXiv2403.11824MaRDI QIDQ6526546

Laurence Carassus, Massinissa Ferhoune

Mathematics Subject Classification ID

Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20) Utility theory (91B16) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Probabilistic measure theory (60A10) Descriptive set theory (topological aspects of Borel, analytic, projective, etc. sets) (54H05)

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