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q-fin.PM2013★ 1 cited
Dynamic robust duality in utility maximization
Bernt Øksendal, Agnès Sulem
A celebrated financial application of convex duality theory gives an explicit relation between the following two quantities: (i) The optimal terminal wealth …
q-fin.PM2013★ 7 cited
Market viability and martingale measures under partial information
Claudio Fontana, Bernt Øksendal, Agnès Sulem
We consider a financial market model with a single risky asset whose price process evolves according to a general jump-diffusion with locally bounded coefficients and where market…