Analysis of incomplete stock market with jump-diffusion uncertainty

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zbMath1071.91016MaRDI QIDQ1868950

Indrajit Bardhan, Xiuli Chao

Publication date: 2002

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

zbMATH Keywords

utility maximization change of measure risk-neutral measure stochastic intensity

Mathematics Subject Classification ID

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