Singular control of optional random measures

Singular control of optional random measures

In dieser Arbeit untersuchen wir das Problem der Maximierung bestimmter konkaver Funktionale auf dem Raum der optionalen, zufälligen Maße. Deartige Funktionale treten in der mikroökonomischen Literatur auf, wo ihre Maximierung auf die Bestimmung des optimalen Konsumplans eines ökomischen Agenten hin...

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Bibliographic Details
Main Author:	Bank, Peter
Other Authors:	Föllmer, Hans
Format:	Doctoral Thesis
Language:	English
Published:	Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II 2000
Subjects:	singuläres Kontrollproblem in allgemeinem Semimartingalmodell Darstellung optionaler Prozesse nicht-zeitadditive Nutzenfunktionale inhomogene Konvexität singular control problem in general semimartingale setting representation of optional processes non-time-additive utility functionals inhomogeneous convexity 510 Mathematik 27 Mathematik ddc:510
Online Access:	http://edoc.hu-berlin.de/18452/15208 http://nbn-resolving.de/urn:nbn:de:kobv:11-10013741 http://nbn-resolving.de/urn:nbn:de:kobv:11-10013758 http://dx.doi.org/10.18452/14556

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