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dc.date.accessioned2013-03-12T08:16:44Z
dc.date.available2013-03-12T08:16:44Z
dc.date.issued2006en_US
dc.date.submitted2009-11-19en_US
dc.identifier.urihttp://hdl.handle.net/10852/10553
dc.description.abstractWe consider a stochastic differential game in a financial jump diffusion market, where the agent chooses a portfolio which maximizes the utility of her terminal wealth, while the market chooses a scenario (represented by a probability measure) which minimizes this maximal utility. We show that the optimal strategy for the market is to choose an equivalent martingale measure.eng
dc.language.isoengen_US
dc.publisherMatematisk Institutt, Universitetet i Oslo
dc.relation.ispartofPreprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076en_US
dc.relation.urihttp://urn.nb.no/URN:NBN:no-8076
dc.titleA game theoretic approach to martingale measures in incomplete marketsen_US
dc.typeResearch reporten_US
dc.date.updated2009-11-19en_US
dc.creator.authorØksendal, Bernten_US
dc.creator.authorSulem, Agnèsen_US
dc.subject.nsiVDP::410en_US
dc.identifier.urnURN:NBN:no-23555en_US
dc.type.documentForskningsrapporten_US
dc.identifier.duo97021en_US
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/10553/1/pm24-06.pdf


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