On Supremal and Maximal Sets with Respect to Random Partial Orders

DOI10.1007/978-3-662-48670-2_9MaRDI QIDQ2805760zbMATH OpenOpenAlexFDO

Authors Emmanuel Lépinette, Yuri Kabanov

Publication date 13 May 2016

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-662-48670-2_9

zbMATH Keywords

partial ordertransaction costshedgingpreference relationrandom conesmaximal setsEuropean/American optionssupremal sets

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Partial orders, general (06A06) Set-valued and variational analysis (49J53) Existence of optimal solutions to problems involving randomness (49J55) Financial applications of other theories (91G80) Ordered topological structures (06F30)

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Cites work

• An algorithm for calculating the set of superhedging portfolios in markets with transaction costs
• Essential supremum and essential maximum with respect to random preference relations
• Essential supremum with respect to a random partial order
• Markets with transaction costs. Mathematical theory.
• On the multi-utility representation of preference relations
• Optimal set in ordered linear space
• Subsets on partially ordered topological linear spaces

Cited in

(3)

• Essential supremum and essential maximum with respect to random preference relations
• The largest super-increasing subset of a random set
• Random optimization on random sets

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