Martingale and Duality Methods for Utility Maximization in an Incomplete Market
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Publication:3360774
DOI10.1137/0329039zbMath0733.93085OpenAlexW2022958749MaRDI QIDQ3360774
Ioannis Karatzas, Ganlin Xu, John P. Lehoczky, Steven E. Shreve
Publication date: 1991
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0329039
Economic growth models (91B62) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Optimality conditions for problems involving randomness (49K45)
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