Martingale matrix classes and polytopes

DOI10.1016/J.LAA.2012.04.042zbMath1255.60071OpenAlexW2009572466MaRDI QIDQ445833

Geir Dahl

Publication date: 27 August 2012

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.laa.2012.04.042

zbMATH Keywords

polytopesmathematical financematrix classesdiscrete time martingalesfinancial derivatives

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Special polytopes (linear programming, centrally symmetric, etc.) (52B12) Actuarial science and mathematical finance (91G99) Special matrices (15B99)

Cites Work

• Duality and martingales: a stochastic programming perspective on contingent claims
• Inequalities: theory of majorization and its applications
• Principal majorization ideals and optimization
• Stochastic differential equations. An introduction with applications.
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