The shadow price of information in continuous time decision problems

DOI10.1080/17442508708833471MaRDI QIDQ3765689zbMATH OpenOpenAlexFDO

Authors Kerry Back, Stanley R. Pliska

Publication date 1987

Published in Stochastics (Search for Journal in Brave)

Full work available at URL http://www.kellogg.northwestern.edu/research/math/papers/690.pdf

zbMATH Keywords

continuous-timecontinuous-time stochastic control problemeconomic growthexistence of the shadow price of informationoptimal portfoliosstochastic maximum principle

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Duality theory (optimization) (49N15) Martingales with continuous parameter (60G44) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cites work

• An Intertemporal General Equilibrium Model of Asset Prices
• An Introductory Approach to Duality in Optimal Stochastic Control
• Conjugate convex functions in optimal stochastic control
• Convex Analysis
• scientific article; zbMATH DE number 3778409 (Why is no real title available?)
• scientific article; zbMATH DE number 3778410 (Why is no real title available?)
• scientific article; zbMATH DE number 3465097 (Why is no real title available?)
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Measurable dependence of convex sets and functions on parameters
• On the interchange of subdifferentiation and conditional expectation for convex functionals
• Optimal Saving and Risk in Continuous Time
• The Optimal Recourse Problem in Discrete Time: L^1 -Multipliers for Inequality Constraints

Cited in

(10)

• Challenges in stochastic programming
• Optional and predictable projections of normal integrands and convex-valued processes
• Shadow price of information in discrete time stochastic optimization
• Sequential importance sampling algorithms for dynamic stochastic programming
• Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments
• On stochastic programming ii: dynamic problems under risk^∗
• Duality and optimality conditions in stochastic optimization and mathematical finance
• Information in Continuous Time Decision Models with Many Agents
• A comparative analysis of the value of information in a continuous time market model with partial information: the cases of log-utility and CRRA
• Epi-convergent discretizations of multistage stochastic programs via integration quadratures

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