"Constrained Utility Deviation-Risk Optimization and Time-Consistent HJB ..."

Jia-Wen Gu, Shijing Si, Harry Zheng (2020)

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DOI: 10.1137/19M1256014

access: closed

type: Journal Article

metadata version: 2020-07-09

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Jia-Wen Gu, Shijing Si, Harry Zheng:
Constrained Utility Deviation-Risk Optimization and Time-Consistent HJB Equation. SIAM J. Control. Optim. 58(2): 866-894 (2020)

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