most citedSemimartingale Stochastic Approximation Procedures and Recursive Estimation

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q-fin.PM2009

Robust utility maximization for diffusion market model with misspecified coefficients

R. Tevzadze, T. Toronjadze

The paper studies the robust maximization of utility of terminal wealth in the diffusion financial market model. The underlying model consists with risky tradable asset, whose pric…