Convergence in the Semimartingale Topology and Constrained Portfolios

DOI10.1007/978-3-642-15217-7_17zbMath1225.60074OpenAlexW12182492MaRDI QIDQ3086809

Nicholas Westray, Harry Zheng, Christoph Czichowsky

Publication date: 30 March 2011

Published in: Séminaire de Probabilités XLIII (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-15217-7_17

Mathematics Subject Classification ID

Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20) Generalizations of martingales (60G48) General theory of stochastic processes (60G07) Financial applications of other theories (91G80) Stochastic integrals (60H05)

Related Items (4)

On utility maximization under convex portfolio constraints ⋮ Constrained Quadratic Risk Minimization via Forward and Backward Stochastic Differential Equations ⋮ POWER UTILITY MAXIMIZATION IN CONSTRAINED EXPONENTIAL LÉVY MODELS ⋮ Constrained nonsmooth utility maximization on the positive real line

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