No Arbitrage in Discrete Time Under Portfolio Constraints

DOI10.1111/1467-9965.00117zbMath1055.91018OpenAlexW2097336059MaRDI QIDQ2757316

Huyên Pham, Nizar Touzi, Laurence Carassus

Publication date: 26 November 2001

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00117

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44)

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