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An Optimal Investment Problem with Nonsmooth and Nonconcave Utility over a Finite Time Horizon.

Chonghu GuanXun LiWenxin Zhou
Published in: SIAM J. Financial Math. (2020)
Keyphrases
  • decision making
  • worst case
  • utility function
  • markov decision processes
  • optimal control
  • finite number
  • variational inequalities