Probabilities and Potential B: Theory of Martingales

By C. Dellacherie. 2012

282 citations recorded by the source corpus.

Subfields: Finance

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Robust Strategies for Optimal Order Execution in the Almgren–Chriss Framework (2012, methodology): “It hence follows from the dominated convergence theorem for stochastic integrals (Protter 2004, p. 267) and (Protter 2004, Chapter V, Theorem 2) that sup 0≤t≤T ∣∣∣∣ ∫ T t sinh(ν(T − u)) dYu sinh(ν(T − t)) − ∫ T t (T − u) dYu T − t ∣∣∣∣ −→ 0 in L 2(P) as ν ↓ 0.”
Duality theory for portfolio optimisation under transaction costs (2014, background): “These processes have been introduced by Chung and Glover [5] and we refer also to Appendix I of [13] for more information on this concept.”
Model-free superhedging duality (2015, unknown): “18 in [10], that S0:t−1(B) belongs to the sigma-algebra generated by the analytic sets in Mat(d × t;R) endowed with its Borel sigma-algebra.”
Arbitrage and duality in nondominated discrete-time models (2013, background): “We recall the following result of Doob; it based on the fact that the Borel σ -field of 1 is countably generated; see [20], Theorem V.”