Duality and General Equilibrium Theory Under Knightian Uncertainty
DOI10.1137/17M1120877zbMATH Open1408.91133OpenAlexW2795142838WikidataQ130063887 ScholiaQ130063887MaRDI QIDQ4635253FDOQ4635253
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Publication date: 16 April 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/17m1120877
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dual spacevolatility uncertaintyasset pricingmutually singular probability measuresgeneral equilibrium under uncertaintyspace of contingent claims
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- Ambiguous volatility, possibility and utility in continuous time
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Cited In (5)
- Arbitrage-free modeling under Knightian uncertainty
- A no-trade theorem under Knightian uncertainty with general preferences
- Separability Versus Robustness of Orlicz Spaces: Financial and Economic Perspectives
- Existence of relaxed stochastic optimal control for G-SDEs with controlled jumps
- The existence and efficiency of general equilibrium with incomplete markets under Knightian uncertainty
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