Absolutely continuous optimal martingale measures

DOI10.1524/STND.2005.23.2.81zbMATH Open1125.91046OpenAlexW69301987MaRDI QIDQ3365772FDOQ3365772

Authors: B. Acciaio 

Publication date: 23 January 2006

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/2e7a94608e648b1b0f73d49509756636719ab176

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zbMATH Keywords

incomplete financial marketsmaximizing the expected utility of terminal wealth

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (3)

• Absolute continuity of semimartingales
• Muckenhoupt's \((A_p)\) condition and the existence of the optimal martingale measure
• A dual characterization of self-generation and exponential forward performances

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