Minimization with respect to entropy in the problem of finding a martingale measure

DOI10.1070/RM2000V055N05ABEH000330zbMath0999.60046MaRDI QIDQ2780498

O. V. Shataev

Publication date: 2 December 2002

Published in: Russian Mathematical Surveys (Search for Journal in Brave)

zbMATH Keywords

martingale measureconvex functional

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Stochastic processes (60G99) Duality theory (optimization) (49N15)

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