Controlled random fields, von Neumann–Gale dynamics and multimarket hedging with risk
From MaRDI portal
Publication:5410802
DOI10.1080/17442508.2013.795565zbMath1284.91161MaRDI QIDQ5410802
Mikhail Zhitlukhin, Igor V. Evstigneev
Publication date: 17 April 2014
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2013.795565
hedging; consistent price systems; von Neumann-Gale dynamical systems; controlled random fields; multimarket models
Related Items
Von Neumann–Gale model, market frictions and capital growth, Supporting Prices in a Stochastic von Neumann--Gale Model of a Financial Market, A multidimensional Fatou lemma for conditional expectations, Von Neumann-Gale dynamics and capital growth in financial markets with frictions
Cites Work
- Unnamed Item
- Asset pricing and hedging in financial markets with transaction costs: an approach based on the von Neumann-Gale model
- The valuation problem in arbitrage price theory
- Markets with transaction costs. Mathematical theory.
- Stochastic equilibria on graphs, I
- Equilibrium states of random economies with locally interacting agents and solutions to stochastic variational inequalities in \(\langle L_1,L_{\infty}\rangle\)
- Stochastic equilibria on graphs. II
- Dynamic interaction models of economic equilibrium
- The Kreps--Yan theorem for \(L^\infty\)
- ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
- The von Neumann-Gale Growth Model and Its Stochastic Generalization
- Controlled Random Fields on an Oriented Graph
- On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria
- Convex Analysis
- A generalization of a problem of Steinhaus
