Absolutely continuous optimal martingale measures

DOI10.1524/STND.2005.23.2.81MaRDI QIDQ3365772zbMATH OpenOpenAlexFDO

Authors B. Acciaio

Publication date 23 January 2006

Published in Statistics & Decisions (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/2e7a94608e648b1b0f73d49509756636719ab176

zbMATH Keywords

incomplete financial marketsmaximizing the expected utility of terminal wealth

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(3)

• A dual characterization of self-generation and exponential forward performances
• Absolute continuity of semimartingales
• Muckenhoupt's \((A_p)\) condition and the existence of the optimal martingale measure

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