A dual characterization of self-generation and exponential forward performances

DOI10.1214/09-AAP607zbMath1180.91129arXiv0809.0739MaRDI QIDQ1049561

Gordan Žitković

Publication date: 13 January 2010

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0809.0739

zbMATH Keywords

incomplete marketsrandom fieldsconvex dualityutility maximizationmathematical financeexponential utilityforward performances

Mathematics Subject Classification ID

Utility theory (91B16) Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

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