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The emerging environmental market : a survey of the Czech Republic, Hungary, Poland, and the Slovak Republic
Dzuray, Emil J. - 1995
Persistent link: https://www.econbiz.de/10000969718
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A Control Approach to Robust Utility Maximization with Logarithmic Utility andTime-Consistent Penalties
Hernández–Hernández, Daniel; Schied, Alexander - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006
We propose a stochastic control approach to the dynamic maximization ofrobust utility functionals that are defined in …
Persistent link: https://www.econbiz.de/10005861275
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Robust Utility Maximization in a Stochastic Factor Model
Hernández–Hernández, Daniel; Schied, Alexander - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2006
duality theory for robust utility maximization and the stochastic control approach to the dual problem of determining optimal …
Persistent link: https://www.econbiz.de/10005861693
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Discretisation of Stochastic Control Problems for Continuous Time Dynamics withDelay
Fischer, Markus; Reiss, Markus - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005
As a main step in the numerical solution of control problems in continuous time,the controlled process is approximated …
Persistent link: https://www.econbiz.de/10005861977