On Supremal and Maximal Sets with Respect to Random Partial Orders

DOI10.1007/978-3-662-48670-2_9zbMath1338.49033OpenAlexW3125057059MaRDI QIDQ2805760

Emmanuel Lépinette, Youri M.Kabanov

Publication date: 13 May 2016

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-662-48670-2_9

zbMATH Keywords

hedgingtransaction costspartial orderpreference relationrandom conesmaximal setsEuropean/American optionssupremal sets

Mathematics Subject Classification ID

Partial orders, general (06A06) Extreme value theory; extremal stochastic processes (60G70) Set-valued and variational analysis (49J53) Financial applications of other theories (91G80) Ordered topological structures (06F30) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (1)

Random optimization on random sets

Cites Work

• Essential supremum with respect to a random partial order
• Essential supremum and essential maximum with respect to random preference relations
• Markets with transaction costs. Mathematical theory.
• Optimal set in ordered linear space
• Subsets on partially ordered topological linear spaces
• On the multi-utility representation of preference relations
• AN ALGORITHM FOR CALCULATING THE SET OF SUPERHEDGING PORTFOLIOS IN MARKETS WITH TRANSACTION COSTS

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