Pricing Via Utility Maximization and Entropy

DOI10.1111/1467-9965.00093zbMath1052.91512MaRDI QIDQ2707148

Nicole El Karoui, Richard Rouge

Publication date: 29 March 2001

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00093

Mathematics Subject Classification ID

91B24: Microeconomic theory (price theory and economic markets)

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

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