FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2271320975> ?p ?o ?g. }

• W2271320975 abstract "We study a robust utility maximization problem with non entropic penalty term. We consider two types of Penalties. The first one is the f-divergence penalty studied in the general framework of a continuous filtration. The second called consistent time penalty studied in the context of a Brownian filtration. These Penalties generalizes the relative entropy. We prove in the two cases that there exists a unique optimal probability measure solution of the robust problem, which is equivalent to the historical probability. In the case of a consistent time penalty, we characterize the dynamic value process of our stochastic control problem as the unique solution of a quadratic backward stochastic differential equation." @default.
• W2271320975 created "2016-06-24" @default.
• W2271320975 creator A5047759093 @default.
• W2271320975 creator A5056811944 @default.
• W2271320975 creator A5081180246 @default.
• W2271320975 date "2013-02-03" @default.
• W2271320975 modified "2023-09-27" @default.
• W2271320975 title "Robust utility maximization with a general penalty term" @default.
• W2271320975 cites W1482759850 @default.
• W2271320975 cites W1547547854 @default.
• W2271320975 cites W1574786337 @default.
• W2271320975 cites W1599241267 @default.
• W2271320975 cites W1963901383 @default.
• W2271320975 cites W1979627408 @default.
• W2271320975 cites W2004220372 @default.
• W2271320975 cites W2005158847 @default.
• W2271320975 cites W2022359666 @default.
• W2271320975 cites W2022958749 @default.
• W2271320975 cites W2043380962 @default.
• W2271320975 cites W2051444274 @default.
• W2271320975 cites W2052438825 @default.
• W2271320975 cites W206991483 @default.
• W2271320975 cites W2091071054 @default.
• W2271320975 cites W2105832006 @default.
• W2271320975 cites W2115163282 @default.
• W2271320975 cites W2120733867 @default.
• W2271320975 cites W2125377415 @default.
• W2271320975 cites W2132807882 @default.
• W2271320975 cites W2144846366 @default.
• W2271320975 cites W2154738336 @default.
• W2271320975 cites W2161007682 @default.
• W2271320975 cites W2287678325 @default.
• W2271320975 cites W3124163886 @default.
• W2271320975 cites W3124592362 @default.
• W2271320975 cites W3127518054 @default.
• W2271320975 cites W3205459585 @default.
• W2271320975 hasPublicationYear "2013" @default.
• W2271320975 type Work @default.
• W2271320975 sameAs 2271320975 @default.
• W2271320975 citedByCount "0" @default.
• W2271320975 crossrefType "posted-content" @default.
• W2271320975 hasAuthorship W2271320975A5047759093 @default.
• W2271320975 hasAuthorship W2271320975A5056811944 @default.
• W2271320975 hasAuthorship W2271320975A5081180246 @default.
• W2271320975 hasConcept C105795698 @default.
• W2271320975 hasConcept C106301342 @default.
• W2271320975 hasConcept C121332964 @default.
• W2271320975 hasConcept C126255220 @default.
• W2271320975 hasConcept C127233936 @default.
• W2271320975 hasConcept C129844170 @default.
• W2271320975 hasConcept C134306372 @default.
• W2271320975 hasConcept C138885662 @default.
• W2271320975 hasConcept C151730666 @default.
• W2271320975 hasConcept C171752962 @default.
• W2271320975 hasConcept C207390915 @default.
• W2271320975 hasConcept C21031990 @default.
• W2271320975 hasConcept C2524010 @default.
• W2271320975 hasConcept C2776330181 @default.
• W2271320975 hasConcept C2779343474 @default.
• W2271320975 hasConcept C2780009758 @default.
• W2271320975 hasConcept C28826006 @default.
• W2271320975 hasConcept C33923547 @default.
• W2271320975 hasConcept C41008148 @default.
• W2271320975 hasConcept C41895202 @default.
• W2271320975 hasConcept C51955184 @default.
• W2271320975 hasConcept C61797465 @default.
• W2271320975 hasConcept C6180225 @default.
• W2271320975 hasConcept C62520636 @default.
• W2271320975 hasConcept C77088390 @default.
• W2271320975 hasConcept C86803240 @default.
• W2271320975 hasConcept C9679016 @default.
• W2271320975 hasConceptScore W2271320975C105795698 @default.
• W2271320975 hasConceptScore W2271320975C106301342 @default.
• W2271320975 hasConceptScore W2271320975C121332964 @default.
• W2271320975 hasConceptScore W2271320975C126255220 @default.
• W2271320975 hasConceptScore W2271320975C127233936 @default.
• W2271320975 hasConceptScore W2271320975C129844170 @default.
• W2271320975 hasConceptScore W2271320975C134306372 @default.
• W2271320975 hasConceptScore W2271320975C138885662 @default.
• W2271320975 hasConceptScore W2271320975C151730666 @default.
• W2271320975 hasConceptScore W2271320975C171752962 @default.
• W2271320975 hasConceptScore W2271320975C207390915 @default.
• W2271320975 hasConceptScore W2271320975C21031990 @default.
• W2271320975 hasConceptScore W2271320975C2524010 @default.
• W2271320975 hasConceptScore W2271320975C2776330181 @default.
• W2271320975 hasConceptScore W2271320975C2779343474 @default.
• W2271320975 hasConceptScore W2271320975C2780009758 @default.
• W2271320975 hasConceptScore W2271320975C28826006 @default.
• W2271320975 hasConceptScore W2271320975C33923547 @default.
• W2271320975 hasConceptScore W2271320975C41008148 @default.
• W2271320975 hasConceptScore W2271320975C41895202 @default.
• W2271320975 hasConceptScore W2271320975C51955184 @default.
• W2271320975 hasConceptScore W2271320975C61797465 @default.
• W2271320975 hasConceptScore W2271320975C6180225 @default.
• W2271320975 hasConceptScore W2271320975C62520636 @default.
• W2271320975 hasConceptScore W2271320975C77088390 @default.
• W2271320975 hasConceptScore W2271320975C86803240 @default.
• W2271320975 hasConceptScore W2271320975C9679016 @default.
• W2271320975 hasLocation W22713209751 @default.
• W2271320975 hasOpenAccess W2271320975 @default.

• next