Dual formulation of the utility maximization problem: the case of nonsmooth utility.

DOI10.1214/105051604000000062zbMath1126.91018arXivmath/0405290OpenAlexW1978572019MaRDI QIDQ1879886

Bruno Bouchard, Nizar Touzi, Amina Zeghal

Publication date: 15 September 2004

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0405290

zbMATH Keywords

incomplete marketsconvex dualityUtility maximization

Mathematics Subject Classification ID

Related Items (20)

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