A generalized stochastic differential utility driven by G-Brownian motion
Year of publication: |
2020
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Authors: | Lin, Qian ; Tian, Dejian ; Tian, Weidong |
Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 14.2020, 3, p. 547-576
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Subject: | Stochastic differential utility | Backward stochastic differential equation | G-Brownian motion | Ambiguity aversion | Theorie | Theory | Stochastischer Prozess | Stochastic process | Nutzen | Utility | Analysis | Mathematical analysis | Entscheidung | Decision | Risiko | Risk |
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