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| Duffie D. — Security Markets. Stochastic Models |
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| Предметный указатель |
Discrete-time 130
distribution 51
Dividend policy 211
Dividend process 148
Dominated allocation 42
Donaldson, J. 220
Donsker’s theorem 248 249 265
Dothan, M. 321
dQ/dP 82
Dreze, J. 129 130
Drift 225
Dual cone 63
Dual norm 34
Duality 31 32 62
Durrett, R. 138 147 231
Dynamic exchange economy 107
Dynamic hedging 288
Dynamic spanning 292
Dynamically complete markets 153
Dynkin, E. 201 232
Dynkin’s formula 226
E(X) 53
Easley, D. 201
Economy 39
Efficient allocation 42
Eigenvalue 181
Eigenvector 181
Ekern, S. 129
Elementary process 142
Elliott, R. 231 232 273
Elliptic partial differential equations 225
Empty set 50
Endowment 39 293
Epstein, L. 155
Equilibrium 1 40 107 294
Equilibrium for stochastic economy 150
Equilibrium with short sales 209
equity 123
Equivalence class 61
Equivalent in distribution 51
Equivalent probability measures 82
Equivalent uniform martingale measure 159
Ergodic 181
Essentially bounded 62
Euclidean space 29
European options 264
Event tree 104
Events 51
Ex dividend 13 149 177 292
Excess expected rate of return 100 300 310
Exchange economy 40
Expected rate of growth, aggregate consumption 216
Expected return 94
Expected return (rate) 216
Expected return on a portfolio 313
Expected utility 5
Expected utility representation 56
Exponential Brownian motion 231
Fama, G. xviii 129
Fan — Glicksberg — Kakutani fixed point theorem 48
Fan, K. 50
Farkas’ lemma 71
Feasible allocation 1 40
Feasible directions 75
Feldman, M. 90 321
Feller, W. 89 264
Feynman — Kac formula 222 226 264 307
Filtered probability space 135
Filtration 130 131
Filtration generated by a process 133
Filtration, natural 136
Filtration, standard 136
finances 107 150
Finite variation process 137 141
Finite-dimensional 68
Finitely-additive measure 88
First order necessary conditions 75
First Welfare theorem 42
Fishburn, P. 39 60
Fixed point 48 191
Fixed point, Blackwell’s theorem 191
Fixed point, contraction mapping 191
Fixed point, Fan — Glicksberg theorem 181
Fixed point, Kakutani’s theorem 48
Fleming, W. 273
Foellmer, H. 168
Foldes, L. 291
Forward contract 166
Fourier transform 256 257
Freedman, D. 231
Freidlin, M. 232 264
Friedman, A. 231
Friesen, P. 116
Frobenius — Perron theorem 181
Function space 30
Functional 30
Fundamental securities 151
Futures 285 288
Futures option 290
Gagnon, J. 219
Gain operator 149
Gain process 149 293
Gale, D. 25 74 130
Garman, M. 182
Gateaux differentiable 75
Gatto, M. 265
Geanakoplos, J. 117 130 219
GENERIC 110
Gennotte, G. 321
Geometric Brownian motion 231
Geometric mean 263
Geske, R. 264
Gibbons, M. 320
Gihman, I. 231 273
Gilbarg, D. 273
Gilles, C. 90
Girsanov’s theorem 228 229 255
Glicksberg, I. 50
Goldman, B. 265
Gradient 5 75 78 223
Graph 199
Grossman, S. 129 130 320
Growth condition 225 270
Hahn — Banach extension theorem 72
Hahn, F. 49
Hakansson, N. 290
Haller, H. 129
Halmos, P. 67
Hamel basis 68
Hamilton — Bellman — Jacobi equation 270
Hansen, L. 321
Hara 274 277
Harris, M. 130
Harrison, M. 147 154 168 264 265
Hart, O. 101 116 117 129 130
Hartigan, J. 90
Heath, D. 266
Hedging 285
Hedging term 314
Heine — Borel theorem 31
Hellwig, M. 129
Hemler, M. 264
hessian 223
Hestenes, M. 81
Hilbert space 63
Hildenbrand, W. 49 50 201
Himmelberg, C. 201
Ho, T. 266
Hoelder’s inequality 62
Holmes, R. 49 74 81 82
| Hotelling, H. 290
Howard, R. 201
Huang, C. xviii 93 101 116 154 168 291 320
Huberman, G. 101
Hunt, G. 182
Husseini, S. 117
Hyperbolic absolute risk averse 274 277
Hyperplane 47
I.i.d. 244
icr(Z) 46
Identity operator 175
Ikeda, N. 231
Image law 51
Immediate predecessor 104
Implicit function theorem 303 304
Implicit price functional 109 158
Implicit price process 236
Implied repo rate 263
Incomplete financial markets 113
Increasing filtration 131
Increasing process 135
Independence axiom 58
Independent 86
Indicator function 54
Indifferent 35
Infinite horizon discounted stochastic control 267
Infinite-dimensional 68
Ingersoll, J. xviii 273 291 320
Initial distribution 173
Initial investment 150
Inner product 64 66
Instantaneous moments 300 310
Instantaneous moments, excess expected rates of return 274 276 312
Instantaneous moments, standard deviation of market return 3 274
Instantaneous moments, variance 300 310
int(X) 30
Integrable 53 85
Integrable process 135
Interest rates 299
Interior 30
Intrinsic core 46
Invariant measure 181
Ito calculus 222
Ito integral 222
Ito process 223
Ito’s formula 223
Ito’s lemma 21 223
Jacka, S. 291
Jackson, M. 130 291
Jacobian 78
Jacobs, R. 265
Jacod, J. 138 147 148 231
Jaenich, K. 35
Jarrow, R. xviii 266
Jensen’s Inequality 85
Jewitt, I. 93
Johnson, H. 220 264 265
Joint distribution 173
Jones, L. 265
Kakutani, S. 50
Kakutani’s fixed point theorem 48
Kallianpur, G. 231 232
Kandori, M. 219
Karatzas, I. 291
Kirman, A. 50
Klein, E. 50 201
Kline, D. 219
Kolmogorov’s equation 226
Kopp, P. 147 231
Kozek, A. 89
Krasa, S. 117
Krein — Rutman theorem 73
Kreps, D. 39 60 116 129 147 154 168 264 265
Krishnan, V. 232
Krylov, N. 232 273
Ku, B. 117
Kuhn — Tucker theorem 78
Kunita — Watanabe inequality 148
L' 31
L* 31
Lagrange multiplier 76
Lagrangian 76
Lang, S. 201
Laplace transform 253
Laroque, G. 320
Lasry, J.-M. 117
Law 51
Law of iterated expectations 84
Law of Large Numbers 86
Lebesgue measure 54
Lee, S. 266
Left-continuous 134
Left-limits 134
Lehoczky, J. 148 154 291 320
Leland, H. 265
Levhari, D. 290
Levine, D. 219
LIMIT 31
Limited liability 122
Lindeberg’s central limit theorem 245
Lineally accessible 38
Linear 30
Linear extension 72
Linear functional 30
Linear operator 87
Linear program 76
Linear space 29
Linear subspace 68
Linearity of stochastic integration 145
Linearly independent 68
Lintner, J. 26 101
Lions, P. 273
Lipschitz condition 225
Lipster, R. 231
Liquidation time 252
Litzenberger, R. xviii 93 130 320
Local martingale 136
Locally non-satiated 37
Log-normal diffusion 231
Los, I. 291
Los, M. 291
Lower semicontinuous 86
Lucas, R. 26 219
Luenberger, D. 67 81 82
L[S] 144
Machina, M. 60 93
Magill, M. 117 130
Makowski, L. 129
Malliaris, A. 291
Marginal 173
Marginal rate of substitution 5
Margrabe, W. 265
Marimon, R. 129
Marked to market 290
Market beta 313
Market completing 110
Market direct risk tolerance 314
Market indirect risk tolerance 312
Market portfolio 10 94 96 312 316
Market system 106
Market value process 124
Marketed space 68 108 157 177
Markets clear 107
Markov 174 179 189
Markov chain 170
Markov exchange economy 203
Markov production economy 210
Markov state variable process 260
Martingale 135
Martingale basis 146
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