Convergence in the Semimartingale Topology and Constrained Portfolios

DOI10.1007/978-3-642-15217-7_17MaRDI QIDQ3086809zbMATHOpenAlexFDO

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

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic integrals (60H05) Financial applications of other theories (91G80) General theory of stochastic processes (60G07) Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20)

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• Constrained nonsmooth utility maximization without quadratic inf convolution
• Continuous Convex Sets.
• Convex Analysis
• Espaces de semi martingales et changement de probabilit�
• Maximal Separation Theorems for Convex Sets
• Measurable dependence of convex sets and functions on parameters
• Minimizing shortfall risk and applications to finance and insurance problems
• Optimal consumption from investment and random endowment in incomplete semimartingale markets.
• Optional decompositions under constraints
• Stochastic optimization under constraints.
• Survey of Measurable Selection Theorems
• The numéraire portfolio in semimartingale financial models

Cited in

(7)

• Power utility maximization in constrained exponential Lévy models
• On the closure in the emery topology of semimartingale wealth-process sets
• Constrained nonsmooth utility maximization on the positive real line
• On utility maximization under convex portfolio constraints
• Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations
• Limit theorems for \(\sigma\)-localized Émery convergence
• Closedness in the semimartingale topology for spaces of stochastic integrals with constrained integrands

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