The shadow price of information in continuous time decision problems

DOI10.1080/17442508708833471zbMath0628.93076OpenAlexW2009565510MaRDI QIDQ3765689

Stanley R. Pliska, Kerry Back

Publication date: 1987

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://www.kellogg.northwestern.edu/research/math/papers/690.pdf

zbMATH Keywords

economic growthstochastic maximum principlecontinuous-timeoptimal portfolioscontinuous-time stochastic control problemexistence of the shadow price of information

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Duality theory (optimization) (49N15) Optimality conditions for problems involving randomness (49K45)

Related Items (8)

Optional and predictable projections of normal integrands and convex-valued processes ⋮ Challenges in stochastic programming ⋮ Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments ⋮ Shadow price of information in discrete time stochastic optimization ⋮ On stochastic programming ii: dynamic problems under risk^∗ ⋮ Epi-convergent discretizations of multistage stochastic programs via integration quadratures ⋮ Duality and optimality conditions in stochastic optimization and mathematical finance ⋮ Sequential importance sampling algorithms for dynamic stochastic programming

Cites Work

• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Conjugate convex functions in optimal stochastic control
• Measurable dependence of convex sets and functions on parameters
• An Intertemporal General Equilibrium Model of Asset Prices
• On the interchange of subdifferentiation and conditional expectation for convex functionals
• An Introductory Approach to Duality in Optimal Stochastic Control
• Optimal Saving and Risk in Continuous Time
• The Optimal Recourse Problem in Discrete Time: $L^1 $-Multipliers for Inequality Constraints
• Convex Analysis
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