Characterisation of optimal dual measures via distortion
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Publication:882491
DOI10.1007/s10203-006-0062-4zbMath1131.60063MaRDI QIDQ882491
Publication date: 24 May 2007
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://ora.ox.ac.uk/objects/uuid:6f35cccf-c5d8-4148-a0e7-d717eea99f51
optimal martingale measure; distortion solution; dual stochastic control problem; utility maximization problem
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
91B26: Auctions, bargaining, bidding and selling, and other market models
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