ROBUST UTILITY MAXIMIZATION IN NONDOMINATED MODELS WITH 2BSDE: THE UNCERTAIN VOLATILITY MODEL

By Anis Matoussi, Dylan Possamaï, Chao Zhao. 2015

94 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b635a712e3ab6f6fdb6d2b6b8dc212246fda95e2

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Marcel Nutz
2. Daniel Bartl

In Finance

1. Daniel Bartl
2. Marcel Nutz
3. Ariel Neufeld
4. Mathias Beiglbock
5. Bruno Bouchard
6. Xiaolu Tan
7. Nizar Touzi

Citations in the corpus

• Stochastic control for a class of nonlinear kernels and applications (2015, unknown): “However, the 2BSDEs (see, for instance, [64]) have proved to provide a particularly nice framework to study the so-called robust problems in finance,”
• Exponential utility maximization under model uncertainty for unbounded endowments (2016, background): “The literature focusing on a non-dominated set P is still comprehensible and in continuous-time results are given in [15, 30, 32].”
• UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME (2013, background): “In [22], the uncertainty is over a compact set of volatility coefficients whereas the drift is known, but possibly non-Markovian.”