Two-agent Pareto optimal cooperative investment in general semimartingale model

DOI10.1080/02331930903369852zbMath1237.91212MaRDI QIDQ3093075

Qing Zhou, Weixing Wu

Publication date: 12 October 2011

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331930903369852

zbMATH Keywords

stochastic optimization; incomplete markets; backward stochastic differential equation; Pareto optimum; cooperative investment

Mathematics Subject Classification ID

93E20: Optimal stochastic control

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

91G10: Portfolio theory

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