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RISK SENSITIVITY, A STRANGELY PERVASIVE CONCEPT
2 references·1 citing·15 second hop
RISK SENSITIVITY, A STRANGELY PERVASIVE CONCEPT (2002)RISK SENSITIVITY, A STRANGELY PERVASIVE C…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…A risk-sensitive maximum principle (1990)A risk-sensitive maximum prin…Capturing Intrinsic Risk Attitude (2019)Capturing Intrinsic Risk Atti…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Necessary Conditions for Continuous Parameter Stochastic Optimization Problems (1972)An Introductory Approach to Duality in Optimal Stochastic Control (1978)Maximum principle and dynamic programming approaches of the optimal control of partially observed diffusions (1983)The Stochastic Maximum Principle for Linear, Convex Optimal Control with Random Coefficients (1995)Minimum principle for partially observable nonlinear risk-sensitive control problems using measure-valued decompositions (1996)A new risk-sensitive maximum principle (2005)Commodities and Capabilities. (1986)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)
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References

  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1990A risk-sensitive maximum principle112 cited

Cited by

  • 2019Capturing Intrinsic Risk Attitude3 cited

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