scientific article; zbMATH DE number 1342042
From MaRDI portal
Publication:4263612
zbMath0939.60024MaRDI QIDQ4263612
Freddy Delbaen, Walter Schachermayer
Publication date: 28 June 2000
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (22)
Optimal investment in incomplete markets when wealth may become negative. ⋮ Strong supermartingales and limits of nonnegative martingales ⋮ The space of outcomes of semi-static trading strategies need not be closed ⋮ Convex compactness and its applications ⋮ Minimal supersolutions of convex BSDEs under constraints ⋮ A strong law of large numbers for positive random variables ⋮ On the optional and orthogonal decompositions of a class of semimartingales ⋮ Minimal supersolutions of convex BSDEs ⋮ Minimal supersolutions of BSDEs with lower semicontinuous generators ⋮ Optimal consumption from investment and random endowment in incomplete semimartingale markets. ⋮ The supermartingale property of the optimal wealth process for general semimartingales ⋮ Closedness results for BMO semi-martingales and application to quadratic BSDEs ⋮ Forward-convex convergence in probability of sequences of nonnegative random variables ⋮ Stochastic invariance of closed sets with non-Lipschitz coefficients ⋮ On optimal terminal wealth under transaction costs ⋮ Generalised Lyapunov Functions and Functionally Generated Trading Strategies ⋮ Robust superhedging with jumps and diffusion ⋮ A quasi-sure optional decomposition and super-hedging result on the Skorokhod space ⋮ Constrained nonsmooth utility maximization without quadratic inf convolution ⋮ PORTFOLIO OPTIMIZATION UNDER NONLINEAR UTILITY ⋮ On fairness of systemic risk measures ⋮ Stability results for martingale representations: The general case
This page was built for publication:
