The perturbation method applied to a robust optimization problem with constraint
Year of publication: |
2024
|
---|---|
Authors: | Luo, Peng ; Schied, Alexander ; Xue, Xiaole |
Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9660, ZDB-ID 2389109-9. - Vol. 18.2024, 1, p. 95-112
|
Subject: | Backward stochastic differential equations | Robust optimization | Terminal perturbation | Stochastischer Prozess | Stochastic process | Robustes Verfahren | Robust statistics | Mathematische Optimierung | Mathematical programming | Analysis | Mathematical analysis | Kontrolltheorie | Control theory |
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