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20072023
most citedThe rate of convergence of Euler approximations for solutions of stochastic differential equations driven by fractional Brownian motion

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math.PR2022

Minimax identity with robust utility functional for a non-concave utility

Olena Bahchedjioglou, Georgiy Shevchenko

We study the minimax identity for a non-decreasing upper-semicontinuous utility function satisfying mild growth assumption. In contrast to the classical setting, we do not impose t…