The stochastic field of aggregate utilities and its saddle conjugate

DOI10.1134/S0081543814080033MaRDI QIDQ492162zbMATH OpenOpenAlexFDO

Authors Dmitry Kramkov, Peter Bank

Publication date 20 August 2015

Published in Proceedings of the Steklov Institute of Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1310.7280

Mathematics Subject Classification ID

Random fields (60G60) Portfolio theory (91G10) Financial applications of other theories (91G80)

Abstract: We describe the sample paths of the stochastic field $F=F_t(v,x,q)$ of aggregate utilities parameterized by Pareto weights $v$ and total cash amounts $x$ and stocks' quantities $q$ in an economy. We also describe the sample paths of the stochastic field $G=G_t(u,y,q)$, which is conjugate to $F$ with respect to the saddle arguments $(v,x)$, and obtain various conjugacy relations between these stochastic fields. The results of this paper play a key role in our study of a continuous-time price impact model.

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Cites work

• scientific article; zbMATH DE number 1667417 (Why is no real title available?)
• scientific article; zbMATH DE number 44587 (Why is no real title available?)
• A model for a large investor trading at market indifference prices. I: Single-period case
• A model for a large investor trading at market indifference prices. II: Continuous-time case.
• Asset equilibria in \(L^ p\) spaces with complete markets: A duality approach
• Convex Analysis
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• Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model
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• On a stochastic differential equation arising in a price impact model
• Variational Analysis

Cited in

(5)

• Mixture of consistent stochastic utilities and \textit{a priori} randomness
• A model for a large investor trading at market indifference prices. I: Single-period case
• Pricing for large positions in contingent claims
• Construction of an Aggregate Consistent Utility, Without Pareto Optimality. Application to Long-Term Yield Curve Modeling
• Superreplication when trading at market indifference prices

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