Kabanov, Yuri; Stricker, Christophe 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]. Cited in 5 Documents MSC: 91B28 Finance etc. (MSC2000) Citations:Zbl 1133.91422 PDFBibTeX XMLCite \textit{Y. Kabanov} and \textit{C. Stricker}, Lect. Notes Math. 1934, 439--442 (2008; Zbl 1151.91517)