Facelifting in utility maximization
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Publication:261918
DOI10.1007/s00780-015-0274-yzbMath1369.91164arXiv1404.2227WikidataQ57635843 ScholiaQ57635843MaRDI QIDQ261918
F. Blanchet-Sadri, M. Dambrine
Publication date: 29 March 2016
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1404.2227
Markov process; incomplete markets; convex duality; random endowment; utility maximization; martingale measure; convex analysis; discontinuous value function; facelift
93E20: Optimal stochastic control
60G44: Martingales with continuous parameter
60H05: Stochastic integrals
91G10: Portfolio theory