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  • Search: subject:"Unbounded stochastic control"
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Control theory 1 Dynamic programming 1 Dynamic programming principle 1 Dynamische Optimierung 1 HJB equation 1 Kontrolltheorie 1 Mathematical programming 1 Mathematische Optimierung 1 Measurement 1 Messung 1 Optimized certainty equivalent 1 Portfolio selection 1 Portfolio-Management 1 Risiko 1 Risikomaß 1 Risk 1 Risk measure 1 Risk measures 1 Singular Hamiltonian 1 Stochastic process 1 Stochastischer Prozess 1 Time consistency 1 Time-inconsistency 1 Unbounded stochastic control 1 Viscosity solution 1 Zeitkonsistenz 1
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Backhoff-Veraguas, Julio 1 Tangpi, Ludovic 1
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Mathematics and financial economics 1
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On the dynamic representation of some time-inconsistent risk measures in a Brownian filtration
Backhoff-Veraguas, Julio; Tangpi, Ludovic - In: Mathematics and financial economics 14 (2020) 3, pp. 433-460
Persistent link: https://www.econbiz.de/10012240302
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