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On martingale selectors of cone-valued processes. (English) Zbl 1151.91517

Donati-Martin, Catherine (ed.) et al., Séminaire de probabilités XLI. Some papers are selected contributions of the seminars in Nancy 2005 and Luminy 2006. Berlin: Springer (ISBN 978-3-540-77912-4/pbk). Lecture Notes in Mathematics 1934, 439-442 (2008).
Summary: We discuss a result of P. Guasoni, M. Rásonyi and W. Schachermayer [Ann. Appl. Probab. 18, No. 2, 491–520 (2008; Zbl 1133.91422)] on the existence of martingale selectors for a class of continuous cone-valued processes. The setting includes that arising in models of financial markets with transaction costs.
For the entire collection see [Zbl 1140.60002].

MSC:

91B28 Finance etc. (MSC2000)

Citations:

Zbl 1133.91422
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