Convex pricing by a generalized entropy penalty
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Publication:2426607
DOI10.1214/07-AAP466zbMath1141.93069arXiv0804.0127OpenAlexW2118973870MaRDI QIDQ2426607
Publication date: 23 April 2008
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0804.0127
Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Multiobjective variational problems, Pareto optimality, applications to economics, etc. (58E17)
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