Utility maximization in incomplete markets
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Publication:2572389
DOI10.1214/105051605000000188zbMath1083.60048arXivmath/0508448OpenAlexW2043380962MaRDI QIDQ2572389
Publication date: 8 November 2005
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0508448
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Optimal stochastic control (93E20) Financial applications of other theories (91G80)
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