Controlled random fields, von Neumann–Gale dynamics and multimarket hedging with risk

DOI10.1080/17442508.2013.795565zbMath1284.91161OpenAlexW2117116964MaRDI QIDQ5410802

Mikhail Zhitlukhin, Igor V. Evstigneev

Publication date: 17 April 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2013.795565

zbMATH Keywords

hedgingconsistent price systemsvon Neumann-Gale dynamical systemscontrolled random fieldsmultimarket models

Mathematics Subject Classification ID

Random fields (60G60) Portfolio theory (91G10)

Related Items

Von Neumann–Gale model, market frictions and capital growth ⋮ Von Neumann-Gale dynamics and capital growth in financial markets with frictions ⋮ Supporting Prices in a Stochastic von Neumann--Gale Model of a Financial Market ⋮ A multidimensional Fatou lemma for conditional expectations

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