Martingale matrix classes and polytopes

DOI10.1016/J.LAA.2012.04.042zbMATH Open1255.60071OpenAlexW2009572466MaRDI QIDQ445833FDOQ445833

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

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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)

Cites Work

• Title not available (Why is that?)
• Combinatorial matrix classes
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• Stochastic differential equations. An introduction with applications.
• Inequalities: theory of majorization and its applications
• Duality and martingales: a stochastic programming perspective on contingent claims
• Principal majorization ideals and optimization
• Title not available (Why is that?)
• Linear algebra and its applications

Cited In (2)

• Matrix representation of martingale measures with quantized marginals
• Title not available (Why is that?)

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