Martingale and Duality Methods for Utility Maximization in an Incomplete Market (Q3360774)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Martingale and Duality Methods for Utility Maximization in an Incomplete Market |
scientific article |
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Martingale and Duality Methods for Utility Maximization in an Incomplete Market (English)
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1991
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stochastic control problem
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Martingale techniques
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convex optimization
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