Convergence in the Semimartingale Topology and Constrained Portfolios
DOI10.1007/978-3-642-15217-7_17zbMATH Open1225.60074OpenAlexW12182492MaRDI QIDQ3086809FDOQ3086809
Authors: Christoph Czichowsky, Nicholas Westray, Harry Zheng 
Publication date: 30 March 2011
Published in: Séminaire de Probabilités XLIII (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-15217-7_17
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Cited In (7)
- Closedness in the semimartingale topology for spaces of stochastic integrals with constrained integrands
- Power utility maximization in constrained exponential Lévy models
- Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations
- Constrained nonsmooth utility maximization on the positive real line
- On utility maximization under convex portfolio constraints
- On the closure in the emery topology of semimartingale wealth-process sets
- Limit theorems for \(\sigma\)-localized Émery convergence
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