On the dual problem of utility maximization in incomplete markets
type: Item
instance of: scholarly article
title: On the dual problem of utility maximization in incomplete markets
zbMATH Open document ID: 1333.91050
author: Lingqi Gu
author: Yiqing Lin
author: Junjian Yang
published in: Stochastic Processes and their Applications
publication date: 2016-03-03T00:00:00Z
full work available at URL: https://arxiv.org/abs/1510.08323
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60G48
Mathematics Subject Classification ID: 91B16
zbMATH DE Number: 6549079
zbMATH Keywords: utility maximization
zbMATH Keywords: random endowment
zbMATH Keywords: primal-dual approach
zbMATH Keywords: dual optimizer
MaRDI profile type: Publication
OpenAlex ID: W2164729024
arXiv ID: 1510.08323
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DOI: 10.1016/J.SPA.2015.10.009
description: scientific article; zbMATH DE number 6549079