Optimal stochastic control problem under model uncertainty with nonentropy penalty
Wahid Faidi, Anis Matoussi, Mohamed Mnif
| Year of publication: |
May 2017
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|---|---|
| Authors: | Faidi, Wahid ; Matoussi, Anis ; Mnif, Mohamed |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 20.2017, 3, p. 1-41
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| Subject: | Robust stochastic control | model uncertainty | Knightian uncertainty | backward stochastic differential equations | utility maximization | Kontrolltheorie | Control theory | Stochastischer Prozess | Stochastic process | Entscheidung unter Unsicherheit | Decision under uncertainty | Risiko | Risk | Mathematische Optimierung | Mathematical programming | Analysis | Mathematical analysis | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024917500157 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011686954