On the analyticity of the value function in optimal investment and stochastically dominant markets

arXiv2002.01084MaRDI QIDQ6334078

Oleksii Mostovyi, Thaleia Zariphopoulou, Mihai Sîrbu

Publication date: 3 February 2020

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Utility theory (91B16) Optimal stochastic control (93E20) Portfolio theory (91G10)

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