The supermartingale property of the optimal wealth process for general semimartingales

Finance and Stochastics

Volumn 11, Issue 2, 2007, Pages 253-266

  Biagini, Sara ^a   Frittelli, Marco ^b  

^a UNIVERSITY OF PERUGIA   (Italy)

^b UNIVERSITY OF MILAN   (Italy)

Author keywords

martingale measure; Duality methods; Non locally bounded semimartingale; Optimal wealth process; Utility maximization

Indexed keywords

EID: 33847375958     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-006-0026-0     Document Type: Article

References (12)

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