Logarithmic utility maximization in an exponential Lévy model
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Publication:2356496
DOI10.3103/S0027132214060035zbMath1354.91144MaRDI QIDQ2356496
Publication date: 30 July 2015
Published in: Moscow University Mathematics Bulletin (Search for Journal in Brave)
Processes with independent increments; Lévy processes (60G51) Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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