Absolutely continuous optimal martingale measures

DOI10.1524/STND.2005.23.2.81zbMath1125.91046OpenAlexW69301987MaRDI QIDQ3365772

Beatrice Acciaio

Publication date: 23 January 2006

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/2e7a94608e648b1b0f73d49509756636719ab176

zbMATH Keywords

incomplete financial marketsmaximizing the expected utility of terminal wealth

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

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