Market viability and martingale measures under partial information

DOI10.1007/s11009-014-9397-4zbMath1338.60121arXiv1302.4254OpenAlexW1965341502MaRDI QIDQ2340293

Claudio Fontana, Agnès Sulem, Bernt Øksendal

Publication date: 16 April 2015

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.4254

zbMATH Keywords

maximum principlebackward stochastic differential equationutility maximizationoptimal portfolioviabilitypartial informationfinancial market modelmartingale deflatorjump diffusionmartingale measures

Mathematics Subject Classification ID

Related Items (2)

Dynamic robust duality in utility maximization ⋮ Optimal investment with intermediate consumption under no unbounded profit with bounded risk

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