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Optional decomposition and Lagrange multipliers

1997154 citationsJournal Article

Authors

Hans Föllmer · Humboldt-Universität zu Berlin

Yuri Kabanov · Central Economics and Mathematics Institute

Topics & Keywords

Stochastic processes and financial applications Insurance, Mortality, Demography, Risk Management Economic theories and models

Publication Details

Published in: Finance and Stochastics

Volume 2, Issue 1, pp. 69-81

DOI: 10.1007/s007800050033

Field-Weighted Citation Impact: 5.80

Optional decomposition and Lagrange multipliers | Researchclopedia