Daniel Hernandez–Hernandez; Schied, Alexander - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005
market model, whose volatility, interest rate process, and long-term trend are driven by an external stochastic factor … solution of a robust utility
maximization problem in an incomplete market model, whose volatility, interest rate
process, and …: optimal investment, model uncertainty, incomplete markets, stochastic volatility,
coherent risk measures, optimal control …