Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions
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Publication:4594521
DOI10.1137/16M1081336zbMath1376.91180arXiv1606.07311OpenAlexW2963916452MaRDI QIDQ4594521
Publication date: 24 November 2017
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1606.07311
Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Convergence of probability measures (60B10) Actuarial science and mathematical finance (91G99)
Related Items (4)
A strong version of the Skorohod representation theorem ⋮ Behavioral Investors in Conic Market Models ⋮ Extended weak convergence and utility maximisation with proportional transaction costs ⋮ On shortfall risk minimization for game options
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