Quasi-sure essential supremum and applications to finance
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Publication:6659482
DOI10.1007/s00780-024-00553-1MaRDI QIDQ6659482
Publication date: 9 January 2025
Published in: Finance and Stochastics (Search for Journal in Brave)
superreplicationmodel uncertaintynon-dominated modelabsence of instantaneous profit (AIP)market with frictionsquasi-sure essential supremum
Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Probabilistic measure theory (60A10) Actuarial science and mathematical finance (91Gxx)
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