Duality for optimal consumption under no unbounded profit with bounded risk

DOI10.1214/21-AAP1767zbMath1499.91129arXiv2006.04687OpenAlexW3211844797MaRDI QIDQ2094575

Michael Monoyios

Publication date: 31 October 2022

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

Full work available at URL: https://arxiv.org/abs/2006.04687

zbMATH Keywords

dualitysupermartingale deflatorutility from consumption

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Financial markets (91G15)

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