The stochastic field of aggregate utilities and its saddle conjugate

Author:

Bank P.,Kramkov D.

Publisher

Pleiades Publishing Ltd

Subject

Mathematics (miscellaneous)

Reference11 articles.

1. P. Bank and D. Kramkov, “A model for a large investor trading at market indifference prices. I: Single-period case,” arXiv: 1110.3224v2 [q-fin.TR]; Finance Stoch. (in press).

2. P. Bank and D. Kramkov, “A model for a large investor trading at market indifference prices. II: Continuous-time case,” arXiv: 1110.3229v2 [q-fin.TR]; Ann. Appl. Probab. (in press).

3. P. Bank and D. Kramkov, “On a stochastic differential equation arising in a price impact model,” Stoch. Processes Appl. 123(3), 1160–1175 (2013).

4. R.-A. Dana, “Existence, uniqueness and determinacy of Arrow-Debreu equilibria in finance models,” J. Math. Econ. 22(6), 563–579 (1993).

5. R. A. Dana and C. Le Van, “Asset equilibria in L p spaces with complete markets: A duality approach,” J. Math. Econ. 25(3), 263–280 (1996).

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