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- W614880973 abstract "We 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." @default.
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- W614880973 date "2006-01-01" @default.
- W614880973 modified "2023-09-25" @default.
- W614880973 title "A game theoretic approach to martingale measures in incomplete markets" @default.
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