Hedging bounded claims with bounded outcomes

zbMATH Open1194.91084MaRDI QIDQ5482555FDOQ5482555

Authors: Freddy Delbaen 

Publication date: 28 August 2006

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zbMATH Keywords

Brownian motionhedginginfimal convolutionFatou propertycoherent utility functions

Mathematics Subject Classification ID

Utility theory (91B16) Martingales with continuous parameter (60G44) Stochastic models in economics (91B70)

Cited In (4)

• Optimal risk sharing with non-monotone monetary functionals
• The strong Fatou property of risk measures
• Short note on inf-convolution preserving the Fatou property
• Inf-convolution and optimal risk sharing with countable sets of risk measures

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