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Paper / 2024SMQ / 200393038689412
A robust stochastic control problem with applications to monotone mean-variance problems
Peng Luo / Tianjiao Hua / Yuyang Chen
stochastic calculus / stochastic processesResource overview

A robust stochastic control problem with applications to monotone mean-variance problems

Paper2024

by Peng Luo, Tianjiao Hua, Yuyang Chen

Tags
stochastic calculusstochastic processes

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  1. Conditional Expectation

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  2. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

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  1. Market Model and Risk-Neutral Valuation

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  2. Simulating SDEs

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