英文标题：
《The stochastic field of aggregate utilities and its saddle conjugate》
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作者：
Peter Bank and Dmitry Kramkov
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最新提交年份：
2013
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英文摘要：
We describe the sample paths of the stochastic field $F = F_t(v,x,q)$ of aggregate utilities parameterized by Pareto weights $v$ and total cash amounts $x$ and stocks\' quantities $q$ in an economy. We also describe the sample paths of the stochastic field $G = G_t(u,y,q)$, which is conjugate to $F$ with respect to the saddle arguments $(v,x)$, and obtain various conjugacy relations between these stochastic fields. The results of this paper play a key role in our study of a continuous-time price impact model.
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中文摘要：
我们描述了经济中由帕累托权重$v$和现金总额$x$以及股票数量$q$参数化的聚合效用随机场$F=F_t（v，x，q）$的样本路径。我们还描述了随机场$G=G_t（u，y，q）$的样本路径，它与鞍参数$（v，x）$共轭为$F$，并得到了这些随机场之间的各种共轭关系。本文的结果对我们研究连续时间价格影响模型起到了关键作用。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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