Robust maximization of consumption with logarithmic utility

Proceedings of the American Control Conference

Volumn , Issue , 2007, Pages 1120-1123

  Hernández Hernández, Daniel ^a   Schied, Alexander ^b  

^a CENTRO DE INVESTIGACIÓN EN MATEMÁTICAS   (Mexico)

^b TECHNISCHE UNIVERSITÄT BERLIN   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

MARKOV PROCESSES; PARTIAL DIFFERENTIAL EQUATIONS; RISK ASSESSMENT;

(E ,3E) PROCESS; (I ,J) CONDITIONS; (MIN ,MAX ,+) FUNCTIONS; CLASSICAL SOLUTIONS; CONVEX RISK MEASURE; DIFFUSION PROCESSES; FUNCTIONALS; GROWTH CONDITIONS; PENALTY FUNCTIONS; QUASI-LINEAR; STOCHASTIC CONTROL; VALUE FUNCTIONS;

STOCHASTIC PROGRAMMING;

EID: 46449128457     PISSN: 07431619     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ACC.2007.4283154     Document Type: Conference Paper

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