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Random optimization on random sets

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MMOR-LEP.pdf (494.6Kb)
Date
2018
Publishing date
2018
Collection title
Cahier de recherche CEREMADE, Université Paris-Dauphine
Link to item file
https://hal.archives-ouvertes.fr/hal-01779181
Dewey
Probabilités et mathématiques appliquées
Sujet
Random preference relations; Random sets; Super hedging; Transaction costs
URI
https://basepub.dauphine.fr/handle/123456789/17963
Collections
  • CEREMADE : Publications
Metadata
Show full item record
Author
Lépinette, Emmanuel
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Type
Document de travail / Working paper
Item number of pages
14
Abstract (EN)
Random sets and random preorders naturally appear in financial market modelling with transaction costs. In this paper , we introduce and study a concept of essential minimum of a family of vector-valued random variables, i.e. the set of all minimal elements with respect to some random preorder. We provide some conditions under which the essential minimum is not empty and we present two applications in optimisation to Mathematical Finance and Economics.

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