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Exponential models by Orlicz spaces and applications - MaRDI portal

Exponential models by Orlicz spaces and applications (Q4555284)

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scientific article; zbMATH DE number 6981478
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English
Exponential models by Orlicz spaces and applications
scientific article; zbMATH DE number 6981478

    Statements

    title
    Exponential models by Orlicz spaces and applications (English)
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    author
    Marina Santacroce
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    Barbara Trivellato
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    Paola Siri
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    publication date
    19 November 2018
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    zbMATH Keywords
    Orlicz space
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    maximal exponential model
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    exponential utility maximization
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    minimal entropy martingale measure
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    reverse Hölder condition
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    Identifiers

    Mathematics Subject Classification ID
    62G07
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    62P05
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    60G46
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    91G80
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    46N30
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    zbMATH DE Number
    6981478
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    OpenAlex ID
    W2900829676
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    Wikidata QID
    Q115563654
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    DOI
    10.1017/JPR.2018.45
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