Quasi-sure essential supremum and applications to finance

DOI10.1007/S00780-024-00553-1MaRDI QIDQ6659482zbMATH OpenFDO

Authors Laurence Carassus

Publication date 9 January 2025

Published in Finance and Stochastics (Search for Journal in Brave)

zbMATH Keywords

model uncertaintysuperreplicationnon-dominated modelabsence of instantaneous profit (AIP)market with frictionsquasi-sure essential supremum

Mathematics Subject Classification ID

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)

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Cites work

• A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
• A unified framework for robust modelling of financial markets in discrete time
• Arbitrage and deflators in illiquid markets
• Arbitrage and duality in nondominated discrete-time models
• Conditional essential suprema with applications
• Conditional nonlinear expectations
• Convex analysis and measurable multifunctions
• Essential supremum with respect to a random partial order
• Exponential utility maximization under model uncertainty for unbounded endowments
• Infinite dimensional analysis. A hitchhiker's guide.
• Measurable Selections and the Uniformization of Souslin Sets
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• No-arbitrage with multiple-priors in discrete time
• On the extension of von Neumann-Aumann's theorem
• Pricing without no-arbitrage condition in discrete time
• Quasi-sure stochastic analysis through aggregation
• Sur l'équation fonctionnelle f(x+y) = f(x) + f(y).
• The robust superreplication problem: a dynamic approach
• Variational Analysis

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