Robust control in a rough environment
Year of publication: |
2022
|
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Authors: | Han, Bingyan ; Wong, Hoi Ying |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 3, p. 481-500
|
Subject: | Detection-error probability | functional Itô calculus | Robust control | Rough volatility | Utility maximization | Volterra Heston model | Volatilität | Volatility | Robustes Verfahren | Robust statistics | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory | Optionspreistheorie | Option pricing theory |
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