Optimal arbitrage under model uncertainty

DOI10.1214/10-AAP755zbMath1239.60057arXiv1202.2999OpenAlexW3099391567MaRDI QIDQ657697

Ioannis Karatzas, Daniel Fernholz

Publication date: 10 January 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1202.2999

zbMATH Keywords

stochastic controlfully nonlinear parabolic equationsmodel uncertaintyarbitragestochastic gameminimal solutionsrobust portfolio choicemaximal containment probability

Mathematics Subject Classification ID

Maximum principles in context of PDEs (35B50) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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