Quasi-sure essential supremum and applications to finance
DOI10.1007/S00780-024-00553-1MaRDI QIDQ6659482FDOQ6659482
Authors: Laurence Carassus 
Publication date: 9 January 2025
Published in: Finance and Stochastics (Search for Journal in Brave)
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model uncertaintysuperreplicationnon-dominated modelabsence of instantaneous profit (AIP)market with frictionsquasi-sure essential supremum
Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80) Actuarial science and mathematical finance (91Gxx) Optimal stochastic control (93E20) Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20) Probabilistic measure theory (60A10)
Cites Work
- Variational Analysis
- Convex analysis and measurable multifunctions
- Infinite dimensional analysis. A hitchhiker's guide.
- Arbitrage and duality in nondominated discrete-time models
- Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
- Quasi-sure stochastic analysis through aggregation
- A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
- Essential supremum with respect to a random partial order
- No-arbitrage with multiple-priors in discrete time
- Pricing without no-arbitrage condition in discrete time
- Arbitrage and deflators in illiquid markets
- On the extension of von Neumann-Aumann's theorem
- Conditional nonlinear expectations
- Measurable Selections and the Uniformization of Souslin Sets
- Exponential utility maximization under model uncertainty for unbounded endowments
- Conditional essential suprema with applications
- The robust superreplication problem: a dynamic approach
- Sur l'équation fonctionnelle \(f(x+y) = f(x) + f(y)\).
- A unified framework for robust modelling of financial markets in discrete time
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