Weighted norm inequalities and hedging in incomplete markets

DOI10.1007/s007800050021zbMath0916.90016OpenAlexW2021434857MaRDI QIDQ1267815

Martin Schweizer, Pascale Monat, Christophe Stricker, Walter Schachermayer, Freddy Delbaen

Publication date: 6 July 1999

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050021

zbMATH Keywords

semimartingales stochastic process stochastic integrals contingent claim reverse Hölder inequalities self-financing strategy dynamic portfolio strategies mean-variance optimal hedging strategies

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Financial applications of other theories (91G80) Stochastic integrals (60H05) Portfolio theory (91G10)

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