Utility maximization in models with conditionally independent increments

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Autor(in)
Kallsen, Jan
Muhle-Karbe, Johannes
Datum
2010
Typ
    Journal Article
Publikationsstatus
published
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Zeitschrift / Serie
The Annals of Applied Probability
Band
20(6)
Seiten / Artikelnummer
2162 - 2177
Verlag
Institute of Mathematical Statistics
Thema
Utility maximization; stochastic factors; conditionally independent increments; martingale method
Organisationseinheit
03899 - Muhle-Karbe, Johannes (ehemalig)  
Anmerkungen
Received November 2009, Revised January 2010.
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