Conditional interior and conditional closure of random sets

DOI10.1007/s10957-020-01768-wzbMath1462.60015OpenAlexW3093914933MaRDI QIDQ2025283

Meriam El Mansour, Emmanuel Lépinette

Publication date: 11 May 2021

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://basepub.dauphine.psl.eu/handle/123456789/22708

zbMATH Keywords

conditional optimizationmathematical financeEuropean optionconditional random setsuper-hedging problem

Mathematics Subject Classification ID

Geometric probability and stochastic geometry (60D05) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10)

Related Items (4)

No-arbitrage conditions and pricing from discrete-time to continuous-time strategies ⋮ Dynamic programming principle and computable prices in financial market models with transaction costs ⋮ Pricing without no-arbitrage condition in discrete time ⋮ Robust discrete-time super-hedging strategies under AIP condition and under price uncertainty

Cites Work

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• Conditional essential suprema with applications
• Conditional cores and conditional convex hulls of random sets
• Variational Analysis
• Theory of Random Sets
• The algebra of conditional sets and the concepts of conditional topology and compactness

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