Maximizing a robust goal-reaching probability with penalization on ambiguity
type: Item
instance of: scholarly article
title: Maximizing a robust goal-reaching probability with penalization on ambiguity
zbMATH Open document ID: 1418.91248
author: Shangzhen Luo
author: Wei Zhu
author: Ming-Ming Wang
published in: Journal of Computational and Applied Mathematics
publication date: 2019-01-04T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 6997521
zbMATH Keywords: ambiguity aversion
zbMATH Keywords: probability of reaching a goal
zbMATH Keywords: HJB equation
zbMATH Keywords: investment control
zbMATH Keywords: reinsurance control
MaRDI profile type: Publication
full work available at URL: j.cam.2018.08.049
OpenAlex ID: W2891669956
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DOI: 10.1016/J.CAM.2018.08.049
description: scientific article; zbMATH DE number 6997521