Back, Kerry E. (contributor); Frittelli, Marco (ed.); … - 2004
, stochastic differential equations, convex analysis and duality theory. Five topics are treated in detail: Utility maximization in … Bressanone/Brixen, Italy 2003. It deals with innovative methods, mainly from stochastic analysis, that play a fundamental role in … the mathematical modelling of finance and insurance: the theory of stochastic processes, optimal and stochastic control …