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Weak approximation of G-expectation
Fadina, Tolulope; Herzberg, Frederik - Institut für Mathematische Wirtschaftsforschung, … - 2014
We refine the discretization of G-expectation by Y. Dolinsky, M. Nutz, and M. Soner (Stochastic Processes and their Applications, 122 (2012), 664-675), in order to obtain a discretization of sublinear expectation where the martingale laws are defined on a finite lattice rather than the whole set...
Persistent link: https://www.econbiz.de/10011250942
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Existence of financial equilibria in continuous time with potentially complete markets
Riedel, Frank; Herzberg, Frederik - In: Journal of mathematical economics 49 (2013) 5, pp. 398-404
Persistent link: https://www.econbiz.de/10010174752
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Controller's Corner
Herzberg, Frederik; Lindstrm, Tom - In: The government accountants journal : financial … 58 (2009) 4, pp. 60-62
Persistent link: https://www.econbiz.de/10008343411
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Spatial differentiation, divisible consumption and the pro-competitive effect of income
Herzberg, Frederik - In: Journal of mathematical economics 46 (2010) 1, pp. 71-86
Persistent link: https://www.econbiz.de/10008350197
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A representative individual from Arrovian aggregation of parametric individual utilities
Herzberg, Frederik - In: Journal of mathematical economics 46 (2010) 6, pp. 1115-1125
Persistent link: https://www.econbiz.de/10008744526
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Addendum to L. Lauwers and L. Van Liedekerke, “Ultraproducts and aggregation” [J. Math. Econ. 24 (3) (1995) 217–237]
Herzberg, Frederik; Lauwers, Luc; van Liedekerke, Luc; … - In: Journal of mathematical economics 46 (2010) 2, pp. 277-279
Persistent link: https://www.econbiz.de/10008378888