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Duality for increasing convex functionals with countably many marginal constraints - MaRDI portal

Duality for increasing convex functionals with countably many marginal constraints

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Publication:6265942

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DOI10.1215/17358787-3750133zbMath1517.47085arXiv1509.08988MaRDI QIDQ6265942

Patrick Cheridito, Michael Kupper, Ludovic Tangpi, Daniel Bartl

Publication date: 29 September 2015

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Monotone and positive operators on ordered Banach spaces or other ordered topological vector spaces (47H07) Measures and integration on abstract linear spaces (46G12)

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