Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints

DOI10.1524/stnd.2006.24.1.127zbMath1108.49021OpenAlexW2285676866MaRDI QIDQ3417654

Publication date: 30 January 2007

Published in: Statistics & Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/stnd.2006.24.1.127

zbMATH Keywords

risk sharing constrained dynamic optimization law invariant utility functions

Mathematics Subject Classification ID

Decision theory (91B06) Methods involving semicontinuity and convergence; relaxation (49J45) Optimality conditions for solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49K30)

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