论文标题
关于具有随机利率的市场最坏情况的注释
A note on the worst case approach for a market with a stochastic interest rate
论文作者
论文摘要
我们解决了强大的优化问题，并展示了最坏情况下的市场模型的示例，这不是玛格尔措施。在我们的模型中，瞬时利率取决于船体白人模型，投资者采用Hara实用程序来衡量其满意度。为了防止模型不确定性，他使用了最坏的案例测量方法。该问题被作为投资者与市场之间的随机游戏提出。 PDE方法用于找到鞍点，并提供了精确的验证参数。
We solve robust optimization problem and show the example of the market model for which the worst case measure is not a martingale measure. In our model the instantaneous interest rate is determined by the Hull-White model and the investor employs the HARA utility to measure his satisfaction.To protect against the model uncertainty he uses the worst case measure approach. The problem is formulated as a stochastic game between the investor and the market from the other side. PDE methods are used to find the saddle point and the precise verification argument is provided.
