Random optimization on random sets

DOI10.1007/s00186-019-00686-6zbMath1435.91188OpenAlexW2808621939MaRDI QIDQ2304911

Emmanuel Lépinette

Publication date: 9 March 2020

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-019-00686-6

zbMATH Keywords

transaction costsrandom setsessential minimumsuper-hedgingrandom preference relationsrandom preorders

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Geometric probability and stochastic geometry (60D05) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

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