Martingale and Duality Methods for Utility Maximization in an Incomplete Market
type: Item
instance of: scholarly article
title: Martingale and Duality Methods for Utility Maximization in an Incomplete Market
zbMATH Open document ID: 0733.93085
DOI: 10.1137/0329039
author: Ioannis Karatzas
author: John P. Lehoczky
author: Ganlin Xu
author: Steven Shreve
published in: SIAM Journal on Control and Optimization
publication date: 1991-01-01T00:00:00Z
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 60G44
Mathematics Subject Classification ID: 91B62
Mathematics Subject Classification ID: 49K45
zbMATH DE Number: 4213897
zbMATH Keywords: stochastic control problem
zbMATH Keywords: Martingale techniques
zbMATH Keywords: convex optimization
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1137/0329039
OpenAlex ID: W2022958749
description: scientific article