Dynamic exponential utility indifference valuation

DOI10.1214/105051605000000395zbMath1134.91449arXivmath/0508489MaRDI QIDQ2572403

Martin Schweizer, Michael Mania

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/0508489

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91B16: Utility theory

60G48: Generalizations of martingales

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