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Dynamic Robust Duality in Utility Maximization

Bernt Øksendal 1 Agnès Sulem 2
2 MATHRISK - Mathematical Risk Handling
UPEM - Université Paris-Est Marne-la-Vallée, ENPC - École des Ponts ParisTech, Inria de Paris
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https://hal.inria.fr/hal-01406663
Contributor : Martine Verneuille <>
Submitted on : Thursday, December 1, 2016 - 2:22:59 PM
Last modification on : Monday, August 10, 2020 - 3:46:03 PM

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Bernt Øksendal, Agnès Sulem. Dynamic Robust Duality in Utility Maximization. Applied Mathematics and Optimization, Springer Verlag (Germany), 2016, pp.1-31. ⟨hal-01406663⟩

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