{"entities":{"Q862209":{"pageid":864057,"ns":120,"title":"Item:Q862209","lastrevid":57184671,"modified":"2026-03-27T10:02:59Z","type":"item","id":"Q862209","labels":{"en":{"language":"en","value":"On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 5121985"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q862209$A6D894AB-E85D-4A6E-98E4-29A346C3F19B","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"2744bbf464610d455572012d481618dc2bfc5f54","datavalue":{"value":{"text":"On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q862209$3E3302C7-21E2-41AE-B916-42CD278816DC","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"7f4a3909a8e767f68186c4543b0099ae8be5fc80","datavalue":{"value":"1149.91035","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q862209$E2B2B34B-C957-45E5-A667-D035BC11182C","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"9effd53a0aa0eb1d39ad8f1906b6e096178a3620","datavalue":{"value":"10.1214/105051606000000259","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q862209$728E9832-BF88-4FB8-BFC0-62A4A63DA9AE","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"c4da8b1fc78f23b751464d2b2f2ab4c4694f894f","datavalue":{"value":{"entity-type":"item","numeric-id":292904,"id":"Q292904"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q862209$FC95914B-F108-479E-8014-71179BD83F0A","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"af6b0f97b2b2c7841a449d48893eabdf65b3c208","datavalue":{"value":{"entity-type":"item","numeric-id":235982,"id":"Q235982"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q862209$8839B3BA-1E64-4DEF-8A20-8577BEE88633","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"e04a4b352e727282a8f30f5809a3df145fda07dd","datavalue":{"value":{"entity-type":"item","numeric-id":81240,"id":"Q81240"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q862209$CE61F76A-35FC-4124-A7CF-1E03C76952BD","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"d7d612691671f975762f6c673ba38c6149083432","datavalue":{"value":{"time":"+2007-02-05T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q862209$D918A78B-5081-46D2-B1BC-1FBAC1C37281","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"ef83352435c80d303c616d71893a382299f28627","datavalue":{"value":"https://arxiv.org/abs/math/0610224","type":"string"},"datatype":"url"},"type":"statement","id":"Q862209$2FFFCBBE-C3DC-4113-819B-74D69F2C6A4C","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"e86c8a5ea98d43d7c1c1ad6a1c38f7f86c0a8d59","datavalue":{"value":"The paper continues the investigation by \\textit{D. Kramkov} and \\textit{W. Schachermayer} [Ann. Appl. Probab. 13, 904--950 (1999; Zbl 0967.91017)] of a security market, which consists of one bond and a finite number of stocks. The price of the bond is constant and the price process of the stocks is assumed a semimartingale on a probability space with a finite time horizon.  The main objects are the value functions of the expected utility maximization in the incomplete market and of its dual problem. The auxiliary objects are the arguments of these extreme problems. The first of the arguments is the wealth process. The conditions providing the two-times differentiability of the value functions and the differentiability of the arguments are that the relative risk aversion coefficient of the utility function is uniformly bounded away from zero and infinity, and that the prices of traded securities are sigma-bounded under the numeraire given by the optimal wealth process.","type":"string"},"datatype":"string"},"type":"statement","id":"Q862209$1B65CBF9-EDBF-4D7E-89BA-616F2061BD8D","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"845f535061d6e6d7ce646ab245942cd52931210b","datavalue":{"value":{"entity-type":"item","numeric-id":587129,"id":"Q587129"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q862209$6BC8284F-6FCE-4569-B208-9FBEB3E5B001","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"7f918b855cc4e1ef3c50dee94916276dca231342","datavalue":{"value":"91G10","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q862209$053229D6-F452-432A-B595-0B65F7D88EAE","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"4ab83e4aad0d91ff4fa3028b5f306edce46af30b","datavalue":{"value":"91B70","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q862209$7035E926-A5E9-46BF-8997-6D30F6D03BEE","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"dade3bc82a2f7e555fdd92f6a7aa24c002fcafaf","datavalue":{"value":"90C15","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q862209$E00A8CA8-9B67-4543-BE34-32D5F9D6CCAA","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"89ad5f103f91b781501d764133f6111442f42690","datavalue":{"value":"5121985","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q862209$D969EB1C-CC01-4070-85EC-83DCB9C4B2D8","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"48e8798eb70de8d4e84ed3ce8047b0821c885530","datavalue":{"value":"security market","type":"string"},"datatype":"string"},"type":"statement","id":"Q862209$61706A87-EEEB-40D7-A51A-FB23BDB3B161","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"e954cfb96fa2398f45ea57e367df6cbb0f9af9d4","datavalue":{"value":"portfolio","type":"string"},"datatype":"string"},"type":"statement","id":"Q862209$46E71025-3DF3-452E-8CBB-E1B9F448FB59","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"09e3cd88dcb58a481f056f25a60d96bd4c34d2e4","datavalue":{"value":"semimartingale processes","type":"string"},"datatype":"string"},"type":"statement","id":"Q862209$42C1E6F6-74F7-4396-ACCD-1CF80F2739BA","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"e4d0daf57f67f923d1d7b349d3b4ca7269dd663f","datavalue":{"value":"expected utility maximization","type":"string"},"datatype":"string"},"type":"statement","id":"Q862209$755DB2F0-C90E-478B-9B71-2ACC420C67C3","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"ef9c14e173cc76358fce0066de8124e3f906abfd","datavalue":{"value":"duality theory","type":"string"},"datatype":"string"},"type":"statement","id":"Q862209$F46CE64B-8F7D-4DF7-90CA-F03FB6018E85","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"3cd17887b38717e7a88bcc706c5030770583e8f8","datavalue":{"value":"conjugate functions","type":"string"},"datatype":"string"},"type":"statement","id":"Q862209$FBD8A797-31FC-4B73-9426-2C0CDB5496C2","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q862209$9D6A7E2C-8FC8-4820-8521-94A8CC8903AA","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"457495e8435a794f59174aeb64a91e7ea9bf8d32","datavalue":{"value":"W1965608937","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q862209$040EC145-A9CE-432B-B7FC-C9FD057BD0D4","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"e53ff37bdf6066fba17bba4b49bd87e8f20fdf52","datavalue":{"value":{"entity-type":"item","numeric-id":1271229,"id":"Q1271229"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q862209$0A5CB1C1-7759-4989-9ABE-0D6D5E345D52","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"63bf2f66e36fafdc53e6dd692137d50ea8401b75","datavalue":{"value":{"entity-type":"item","numeric-id":2707189,"id":"Q2707189"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q862209$33EF1D8C-599F-4AB7-85A3-79A91EA968A6","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"9d63500158e9db8e78dc8073251a79be178570be","datavalue":{"value":{"entity-type":"item","numeric-id":1838779,"id":"Q1838779"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q862209$46403A79-D740-411C-B6FA-FFC96E00214F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"e4c8219b8b6d93b767b6db73dea150e34cbeecb7","datavalue":{"value":{"entity-type":"item","numeric-id":3141900,"id":"Q3141900"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q862209$89540A06-854F-46E3-B385-6B67EC372798","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"ee8c2fc953c2d9dd33b641a31239295780740122","datavalue":{"value":{"entity-type":"item","numeric-id":4345933,"id":"Q4345933"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q862209$B5B0C749-3805-45D0-BCC7-B28CE3B4D333","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"20ba60791f8f2e47d6b285ab96291a2151cde541","datavalue":{"value":{"entity-type":"item","numeric-id":4830842,"id":"Q4830842"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q862209$8FBD8895-9750-41DC-9EAD-B21D5168799A","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"3f1b2e2759b09d1f90333476232635a9bc2eef10","datavalue":{"value":{"entity-type":"item","numeric-id":1578577,"id":"Q1578577"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q862209$C52E6CC1-55FC-4AE6-8DFC-9EB875F4535E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"59f88ed3dd182be5d3d4ad580fa7dce8d4535531","datavalue":{"value":{"entity-type":"item","numeric-id":1429115,"id":"Q1429115"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q862209$AB4827E3-7D45-48EB-AD2A-4D5FFAFD3135","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"2f9c2f24515164dea1583d4feab21d7a838963a7","datavalue":{"value":{"entity-type":"item","numeric-id":997422,"id":"Q997422"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q862209$6FA5A1A6-C0C8-4AFD-9F9F-B2381E60B05F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"6fc00e33334edefcc0b173d405daaa0eeab974f0","datavalue":{"value":{"entity-type":"item","numeric-id":3877536,"id":"Q3877536"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q862209$93C53E44-0DCA-4C70-896C-20CBFDEED9D4","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"f8f77ca86d0df0960c2674b971213f6210a45445","datavalue":{"value":{"entity-type":"item","numeric-id":2260275,"id":"Q2260275"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"b449b1a7317faead24eee89e2ac8c4dac886c0af","datavalue":{"value":{"amount":"+0.8869889974594116","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q862209$11224687-9FC1-4995-8E60-36146E4860F9","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"f9e79fa5bbf81d5e0714212f825096fe990b4601","datavalue":{"value":{"entity-type":"item","numeric-id":1578577,"id":"Q1578577"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"508f60f88012832829b644b369600b75bbf59b65","datavalue":{"value":{"amount":"+0.8285325169563293","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q862209$B1EF6280-59C4-431C-9BAF-D22ADDB78938","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"487c1c9ab2f184bedaff002faa830ae2b519dac3","datavalue":{"value":{"entity-type":"item","numeric-id":3484594,"id":"Q3484594"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"c52a3f5c10ff9d5e081be64d5c887073e906742a","datavalue":{"value":{"amount":"+0.828532338142395","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q862209$4F17ED30-0B0B-4BDA-8C6F-111EB3C77828","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"a2dac6ff12e44da50ffdb326008ffb0e243b7359","datavalue":{"value":{"entity-type":"item","numeric-id":4905018,"id":"Q4905018"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"56f8aa7a798f532bf1843712490d5fbd9cbeab15","datavalue":{"value":{"amount":"+0.8027235269546509","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q862209$38F9943C-6F38-4B26-8FB0-C1BD01F92CCC","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"c9e5b950edcad117fc73bc3049ee3d187b2a4bf9","datavalue":{"value":{"entity-type":"item","numeric-id":1429115,"id":"Q1429115"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"a0b3202f03dbcd3e5956d4c14bc51fc3b9e651a6","datavalue":{"value":{"amount":"+0.8008561134338379","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q862209$884CF1AA-C132-4AA6-9846-C1EEE49D0275","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Publication:862209","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Publication:862209"}}}}}