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~institution:"Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät"
~language:"eng"
~subject:"optimal control"
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optimal control
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Daniel Hernandez–Hernandez
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Schied, Alexander
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
Department of Economics, Adam Smith Business School
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
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A Control Approach to Robust Utility Maximization with Logarithmic Utility and Time-Consistent Penalties
Daniel Hernandez–Hernandez
;
Schied, Alexander
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Sonderforschungsbereich 649: Ökonomisches Risiko, …
-
2006
demonstrated in examples. 1 Introduction One of the fundamental problems in mathematical finance and mathematical
economics
is the …
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