A filtered version of the bipolar theorem of Brannath and Schachermayer
From MaRDI portal
Publication:5960453
DOI10.1023/A:1013885121598zbMath0998.60034arXiv0706.0049MaRDI QIDQ5960453
Publication date: 7 April 2002
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0706.0049
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (20)
Characterisation of \(L^0\)-boundedness for a general set of processes with no strictly positive element ⋮ Duality theory for portfolio optimisation under transaction costs ⋮ On the closure in the emery topology of semimartingale wealth-process sets ⋮ Convergence to the mean field game limit: a case study ⋮ Robust utility maximization in terms of supermartingale measures ⋮ The existence of dominating local martingale measures ⋮ The opportunity process for optimal consumption and investment with power utility ⋮ Duality for optimal consumption with randomly terminating income ⋮ Convex duality for partial hedging of American options: continuous price processes ⋮ THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS ⋮ On the existence of an equivalent supermartingale density for a fork-convex family of stochastic processes ⋮ Asymptotic arbitrage and numéraire portfolios in large financial markets ⋮ Optimal consumption from investment and random endowment in incomplete semimartingale markets. ⋮ Supermartingale deflators in the absence of a numéraire ⋮ Utility maximization with a stochastic clock and an unbounded random endowment ⋮ A version of the \(\mathcal G\)-conditional bipolar theorem in \(L^0(\mathbb R^d_+;\Omega,\mathcal F,\mathbb P)\) ⋮ Duality theory for robust utility maximisation ⋮ Testing exchangeability: fork-convexity, supermartingales and e-processes ⋮ Duality for optimal consumption under no unbounded profit with bounded risk ⋮ Utility maximization with addictive consumption habit formation in incomplete semimartingale markets
This page was built for publication: A filtered version of the bipolar theorem of Brannath and Schachermayer