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Markov decision processes under model uncertainty
Neufeld, Ariel; Sester, Julian; Ṥikić, Mario - In: Mathematical finance : an international journal of … 33 (2023) 3, pp. 618-665
Persistent link: https://www.econbiz.de/10014329899
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The opportunity process for optimal consumption and investment with power utility
Nutz, Marcel - In: Mathematics and financial economics 3 (2010) 3/4, pp. 139-159
Persistent link: https://www.econbiz.de/10008659799
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Stochastic target games and dynamic programming via regularized viscosity solutions
Bouchard, Bruno; Nutz, Marcel - In: Mathematics of operations research 41 (2016) 1, pp. 109-124
Persistent link: https://www.econbiz.de/10011448306