Risk minimizing portfolios and HJBI equations for stochastic differential games-Reference-Cited by-同舟云学术

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Risk minimizing portfolios and HJBI equations for stochastic differential games

Published:2008-08 Issue:4 Volume:80 Page:317-337
ISSN:1744-2508
Container-title:Stochastics
language:en
Short-container-title:Stochastics

Author:

Mataramvura Sure¹²,Øksendal Bernt³

Affiliation:

1. a Department of Mathematics and Applied Mathematics , University of KwaZulu-Natal , Westville Campus, P. Bag X54001, Durban, 4000, South Africa

2. b Department of Mathematics , University of Zimbabwe , Box MP 167, Mount Pleasant, Harare, Zimbabwe

3. c Department of Mathematics , Center of Mathematics for Applications (CMA), University of Oslo , P.O. Box 1053 Blindern, N-0316, Oslo, Norway

Publisher

Informa UK Limited

Subject

Modelling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/17442500701655408

Reference31 articles.

1. Lévy Processes and Stochastic Calculus

2. Coherent Measures of Risk

3. G. Bordigoni, A. Matoussi, and M. Schweizer, A stochastic control approach to a robust utility maximization problem, Manuscript, October (2005).

4. Coherent Risk Measures on General Probability Spaces

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