Facelifting in utility maximization

DOI10.1007/s00780-015-0274-yzbMath1369.91164DBLPjournals/fs/LarsenSZ16arXiv1404.2227OpenAlexW1933617811WikidataQ57635843 ScholiaQ57635843MaRDI QIDQ261918

F. Blanchet-Sadri, M. Dambrine

Publication date: 29 March 2016

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.2227

zbMATH Keywords

Markov processincomplete marketsconvex dualityrandom endowmentutility maximizationmartingale measureconvex analysisdiscontinuous value functionfacelift

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Portfolio theory (91G10)

Related Items (4)

Stability of utility maximization in nonequivalent markets ⋮ Sensitivity of optimal consumption streams ⋮ On the dual problem of utility maximization in incomplete markets ⋮ Conditional Davis pricing

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