Essential Supremum with Respect to a Random Partial Order
Lépinette, Emmanuel; Kabanov, Yuri (2013), Essential Supremum with Respect to a Random Partial Order, Journal of Mathematical Economics, 49, 6. http://dx.doi.org/10.1016/j.jmateco.2013.07.002
TypeArticle accepté pour publication ou publié
Journal nameJournal of Mathematical Economics
MetadataShow full item record
Abstract (EN)Inspired by the theory of financial markets with transaction costs, we study a concept of essential supremum in the framework where a random partial order in View the MathML source is lifted to the space View the MathML source of d-dimensional random variables. In contrast to the classical definition, we define the essential supremum as a subset of random variables satisfying some natural properties. Applications of the introduced notion to a hedging problem under transaction costs and set-valued dynamic risk measures are given.
Subjects / KeywordsEssential supremum; Transaction costs; Set-valued dynamic risk measures; random partial order
Showing items related by title and author.
De Vallière, Dimitri; Kabanov, Yuri; Lépinette, Emmanuel (2015-01) Article accepté pour publication ou publié