Martingale matrix classes and polytopes

DOI10.1016/J.LAA.2012.04.042MaRDI QIDQ445833zbMATH OpenOpenAlexFDO

Authors Geir Dahl

Publication date 27 August 2012

Published in Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.laa.2012.04.042

zbMATH Keywords

polytopesmathematical financematrix classesdiscrete time martingalesfinancial derivatives

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Special polytopes (linear programming, centrally symmetric, etc.) (52B12) Actuarial science and mathematical finance (91G99) Special matrices (15B99)

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Cites work

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• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• Combinatorial matrix classes
• Duality and martingales: a stochastic programming perspective on contingent claims
• Inequalities: theory of majorization and its applications
• Linear algebra and its applications
• Principal majorization ideals and optimization
• Stochastic differential equations. An introduction with applications.

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(2)

• scientific article; zbMATH DE number 1439417 (Why is no real title available?)
• Matrix representation of martingale measures with quantized marginals

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