Exponential models by Orlicz spaces and applications

Exponential models by Orlicz spaces and applications

The geometric structure of the nonparametric statistical model of all positive densities connected by an open exponential arc and its intimate relation to Orlicz spaces give new insights to well-known financial objects which arise in exponential utility maximization problems.

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Veröffentlicht in:Journal of applied probability 2018-09, Vol.55 (3), p.682-700
Hauptverfasser: Santacroce, Marina, Siri, Paola, Trivellato, Barbara
Format: Artikel
Sprache:eng
Schlagworte:
Research Papers
Statistical models
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Beschreibung
Zusammenfassung:The geometric structure of the nonparametric statistical model of all positive densities connected by an open exponential arc and its intimate relation to Orlicz spaces give new insights to well-known financial objects which arise in exponential utility maximization problems.
ISSN:0021-9002
1475-6072
DOI:10.1017/jpr.2018.45