Diving gains between a client and her agent

DOI10.1007/S007800200084zbMath1039.91032OpenAlexW1967894504MaRDI QIDQ1424713

Jian-ming Xia

Publication date: 16 March 2004

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800200084

zbMATH Keywords

optimization probleminvestmentNeyman-Pearson lemmacomplete marketagency

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05)

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