Superreplication under model uncertainty in discrete time

DOI10.1007/s00780-014-0238-7zbMath1312.60049arXiv1301.3227OpenAlexW2139937772MaRDI QIDQ2255006

Marcel Nutz

Publication date: 6 February 2015

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

Full work available at URL: https://arxiv.org/abs/1301.3227

zbMATH Keywords

Hahn-Banach theoremsuperreplicationmartingale measurecontingent claimsKnightian uncertaintynondominated modelmedial limits

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Optimal stochastic control (93E20)

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