A filtered version of the bipolar theorem of Brannath and Schachermayer (Q5960453): Difference between revisions
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Latest revision as of 11:36, 18 April 2024
scientific article; zbMATH DE number 1724949
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A filtered version of the bipolar theorem of Brannath and Schachermayer |
scientific article; zbMATH DE number 1724949 |
Statements
A filtered version of the bipolar theorem of Brannath and Schachermayer (English)
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7 April 2002
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The author extends the bipolar theorem of \textit{D. Kramkov} and \textit{W. Schachermayer} [Ann. Appl. Probab. 9, No. 3, 904-950 (1999; Zbl 0967.91017)] to the space of nonnegative càdlàg supermartingales on a filtered probability space. An intermediate step in the proof of the main result is a conditional version of the bipolar theorem. For application to mathematical finance the structure of the set of dual processes of the utility maximization problem of Kramkov and Schachermayer are described, and a budget constraint characterization of admissible consumption processes in an incomplete semimartingale market is given.
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bipolar theorem
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stochastic processes
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positive supermartingales
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duality
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mathematical finance
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