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Duality in constrained optimal investment and consumption problems: a synthesis

Part of the Lecture Notes in Mathematics book series (LNM,volume 1814)

Keywords

  • Dual Problem
  • Duality Theory
  • Price Process
  • Dual Form
  • Contingent Claim

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Correspondence to L.C.G. Rogers .

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© 2003 Springer-Verlag Berlin Heidelberg

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Rogers, L. (2003). Duality in constrained optimal investment and consumption problems: a synthesis. In: Paris-Princeton Lectures on Mathematical Finance 2002. Lecture Notes in Mathematics, vol 1814. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-44859-4_3

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  • DOI: https://doi.org/10.1007/978-3-540-44859-4_3

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-40193-3

  • Online ISBN: 978-3-540-44859-4

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