Monotone utility convergence

DOI10.1239/JAP/1158784934MaRDI QIDQ5754675zbMATH OpenOpenAlexFDO

Authors Stefan Ankirchner

Publication date 23 August 2007

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1158784934

zbMATH Keywords

enlargement of filtrationsindifference priceinformationutility maximisationutility-based price

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Utility theory (91B16)

Recommendations

• Continuity of utility maximization under weak convergence
• Convergence of utility functions and convergence of optimal strategies
• Optimal Strategies and Utility-Based Prices Converge When Agents’ Preferences Do
• Optimal Utility with Some Additional Information
• Convergence of utility indifference prices to the superreplication price

Cites work

• A general version of the fundamental theorem of asset pricing
• A monetary value for initial information in portfolio optimization
• Anticipation cancelled by a Girsanov transformation: A paradox on Wiener space
• Anticipative portfolio optimization
• Convex Analysis
• Finite utility on financial markets with asymmetric information and structure properties of the price dynamics
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• Information and semimartingales.
• Martingale laws, densities and decomposition of Föllmer-Schweizer
• Multiperiod security markets with differential information
• Random times and enlargements of filtrations in a Brownian setting.
• Semi-martingales et grossissement d'une filtration
• The mathematics of arbitrage
• The Shannon information of filtrations and the additional logarithmic utility of insiders

Cited in

(3)

• Convergence of information, random variables and noise
• Continuity of utility maximization under weak convergence
• Strictly Monotonic Preferences

This page was built for publication: Monotone utility convergence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5754675)