Robust utility maximization with nonlinear continuous semimartingales
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DOI: 10.1007/s11579-023-00342-y
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- Criens, David & Niemann, Lars, 2024. "A class of multidimensional nonlinear diffusions with the Feller property," Statistics & Probability Letters, Elsevier, vol. 208(C).
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Keywords
Robust utility maximization; Robust market price of risk; Duality theory; Nonlinear continuous semimartingales; Semimartingale characteristics; Knightian uncertainty;All these keywords.
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