Characterisation of optimal dual measures via distortion

Characterisation of optimal dual measures via distortion

Show other versions (1)

We derive representations for optimal martingale measures in a two-factor Markovian model, by seeking ramifications of a distortion power solution (Zariphopoulou, 2001) of the primal utility maximisation problem, for the dual problem. This provides an alternative to existing methods in the literatur...

Fuld beskrivelse

Bibliografiske detaljer
Hovedforfatter:	Monoyios, M
Format:	Journal article
Udgivet:	2006

Lignende værker

Characterisation of optimal dual measures via distortion
af: Monoyios, M
Udgivet: (2006)

Malliavin Calculus Method for Asymptotic Expansion of Dual Control Problems
af: Monoyios, M
Udgivet: (2013)

Distorter Characterisation Using Mutual Inductance in Electromagnetic Tracking
af: Herman Alexander Jaeger, et al.
Udgivet: (2018-09-01)

Optimal hedging and parameter uncertainty
af: Monoyios, M
Udgivet: (2007)

Optimal hedging and parameter uncertainty
af: Monoyios, M
Udgivet: (2007)

Optimal exercise of an executive stock option by an insider
af: Monoyios, M
Udgivet: (2010)

Optimal investment with inside information and parameter uncertainty
af: Monoyios, M
Udgivet: (2010)

Optimal investment with inside information and parameter uncertainty
af: Monoyios, M
Udgivet: (2010)

Rate-Distortion Bounds for Kernel-Based Distortion Measures
af: Kazuho Watanabe
Udgivet: (2017-07-01)

On Rate Distortion via Constrained Optimization of Estimated Mutual Information
af: Dor Tsur, et al.
Udgivet: (2024-01-01)

The minimal entropy measure and an Esscher transform in an incomplete market model
af: Monoyios, M
Udgivet: (2007)

The minimal entropy measure and an Esscher transform in an incomplete market model
af: Monoyios, M
Udgivet: (2007)

The minimal entropy measure and an Esscher transform in an incomplete market model
af: Monoyios, M
Udgivet: (2005)

Optimal investment and hedging under partial and inside information
af: Monoyios, M
Udgivet: (2009)

Duality for optimal consumption under no unbounded profit with bounded risk
af: Monoyios, M
Udgivet: (2022)

Projection to Mixture Families and Rate-Distortion Bounds with Power Distortion Measures
af: Kazuho Watanabe
Udgivet: (2017-06-01)

Two-way generation of high-resolution EO and SAR images via dual distortion-adaptive GANs
af: Qing, Yuanyuan, et al.
Udgivet: (2023)

Two-Way Generation of High-Resolution EO and SAR Images via Dual Distortion-Adaptive GANs
af: Yuanyuan Qing, et al.
Udgivet: (2023-03-01)

Temporal dependent rate-distortion optimization based on distortion backward propagation
af: Hongwei GUO, et al.
Udgivet: (2022-12-01)

Temporal dependent rate-distortion optimization based on distortion backward propagation
af: Hongwei GUO, et al.
Udgivet: (2022-12-01)

Optimal exercise of an executive stock option by an insider
af: Monoyios, M, et al.
Udgivet: (2011)

A novel distortion criterion of rate-distortion optimization for depth map coding
af: Zheng, Ziqi, et al.
Udgivet: (2020)

Optimization methods for the distortion of thin-walled box girders and investigation of distortion effects
af: Zhaonan Wang
Udgivet: (2023-11-01)

Structural distortion and electron redistribution in dual-emitting gold nanoclusters
af: Qi Li, et al.
Udgivet: (2020-06-01)

CHARACTERISING SOLUTION SET OF A NONCONVEX PROGRAMMING PROBLEM VIA ITS DUAL PROBLEMS
af: Do Sang Kim, et al.
Udgivet: (2012-09-01)

Distortion of web profiles by scanned measurements
af: Skelton, J, et al.
Udgivet: (2003)

Transmuted Distortion Functions for Measuring Risks
af: Muna Alkasasbeh, et al.
Udgivet: (2024-09-01)

Towards measurements of CMB spectral distortions
af: Coulon Xavier, et al.
Udgivet: (2024-01-01)

Perspective Distortion Modeling for Image Measurements
af: Alexandre Bousaid, et al.
Udgivet: (2020-01-01)

Distortion Measurement Metric for Human Image Refinement and Evaluation Using Distorted Image Datasets
af: Gwangyeol Yu, et al.
Udgivet: (2025-01-01)

Optimal savings distortions with recursive preferences
af: Farhi, Emmanuel, et al.
Udgivet: (2011)

Optimal stopping under probability distortion
af: Xu, Z, et al.
Udgivet: (2013)

Non-Distorted Optimization Spectrum Analysis
af: Rong-Ching Wu, et al.
Udgivet: (2018-07-01)

Optimizing the Measurement of 0.5-kHz Cubic Distortion Product Otoacoustic Emission
af: Yongqiang Yu, et al.
Udgivet: (2022-11-01)

Restoration of dynamically distorted signal using the theory of optimal dynamic measurements and digital filtering
af: A.L. Shestakov, et al.
Udgivet: (2021-12-01)

Optimal investment with inside information and parameter uncertainty
af: Danilova, A, et al.
Udgivet: (2011)

Optimal investment with inside information and parameter uncertainty
af: Danilova, A, et al.
Udgivet: (2010)

Duality for optimal consumption with randomly terminating income
af: Davey, A, et al.
Udgivet: (2021)

Relativistic imprints on dispersion measure space distortions
af: Saga, S, et al.
Udgivet: (2024)

Distortion measurement method for a booster amplifier/
af: 266514 Rinnert, Stephanie, et al.
Udgivet: (1995)