Strong supermartingales and limits of nonnegative martingales

DOI10.1214/14-AOP970zbMath1339.60045arXiv1312.2024MaRDI QIDQ272945

Walter Schachermayer, Christoph Czichowsky

Publication date: 21 April 2016

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.2024

zbMATH Keywords

stochastic integralsconvergence in probabilityFatou limitfinite stopping timesKomlós' lemmanon-negative martingalesoptional strong supermartingalespredictable strong supermartingales

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Central limit and other weak theorems (60F05) Generalizations of martingales (60G48) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic integrals (60H05)

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Fine properties of the optimal Skorokhod embedding problem ⋮ SHADOW PRICES FOR CONTINUOUS PROCESSES ⋮ Duality theory for portfolio optimisation under transaction costs ⋮ On the existence of shadow prices for optimal investment with random endowment ⋮ Optimal investment with random endowments and transaction costs: duality theory and shadow prices ⋮ Optimal investment and consumption with labor income in incomplete markets ⋮ Utility maximization problem with random endowment and transaction costs: when wealth may become negative ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ Finite-horizon optimal investment with transaction costs: construction of the optimal strategies

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