浏览/检索结果:共3条，第1-3条

已选(0)清除条数/页：排序方式：
	Robust utility maximization under model uncertainty via a penalization approach 期刊论文 Mathematics and Financial Economics,2022, 卷号: 16, 期号: 1, 页码: 51-88 作者: Guo, Ivan; Langrené, Nicolas; Loeper, Grégoire; Ning, Wei 收藏 \| 浏览/下载：14/0 \| 提交时间：2022/08/29 Differential games GANs HJBI equation Monte Carlo Robust portfolio optimization
	Portfolio optimization with a prescribed terminal wealth distribution 期刊论文 Quantitative Finance,2022, 卷号: 22, 期号: 2, 页码: 333-347 作者: Guo, Ivan; Langrené, Nicolas; Loeper, Grégoire; Ning, Wei 收藏 \| 浏览/下载：16/0 \| 提交时间：2022/08/29 Fokker–Planck HJB Optimal mass transport Portfolio allocation Wealth distribution target
	Markovian approximation of the rough bergomi model for Monte Carlo option pricing 期刊论文 Mathematics,2021, 卷号: 9, 期号: 5, 页码: 1-21 作者: Zhu, Qinwen; Loeper, Grégoire; Chen, Wen; Langrené, Nicolas 收藏 \| 浏览/下载：18/0 \| 提交时间：2022/08/29 Forward variance model Hybrid scheme Markovian representation Rough fractional stochastic volatility Rough heston Sum of ornstein-uhlenbeck processes Volatility skew Volterra integral