Martingale matrix classes and polytopes
From MaRDI portal
Publication:445833
DOI10.1016/j.laa.2012.04.042zbMath1255.60071MaRDI QIDQ445833
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
60G42: Martingales with discrete parameter
52B12: Special polytopes (linear programming, centrally symmetric, etc.)
91G99: Actuarial science and mathematical finance
15B99: Special matrices
Cites Work
- Duality and martingales: a stochastic programming perspective on contingent claims
- Inequalities: theory of majorization and its applications
- Principal majorization ideals and optimization
- Stochastic differential equations. An introduction with applications.
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