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pro vyhledávání: '"Schachermayer, Walter"'
Given $\mu$ and $\nu$, probability measures on $\mathbb R^d$ in convex order, a Bass martingale is arguably the most natural martingale starting with law $\mu$ and finishing with law $\nu$. Indeed, this martingale is obtained by stretching a referenc
Externí odkaz:
http://arxiv.org/abs/2407.18781
In previous work J. Backhoff-Veraguas, M. Beiglb\"ock and the present authors showed that the notions of stretched Brownian motion and Bass martingale between two probability measures on Euclidean space coincide if and only if these two measures sati
Externí odkaz:
http://arxiv.org/abs/2406.10656
An interesting question in the field of martingale optimal transport, is to determine the martingale with prescribed initial and terminal marginals which is most correlated to Brownian motion. Under a necessary and sufficient irreducibility condition
Externí odkaz:
http://arxiv.org/abs/2309.11181
In classical optimal transport, the contributions of Benamou$-$Brenier and McCann regarding the time-dependent version of the problem are cornerstones of the field and form the basis for a variety of applications in other mathematical areas. Stretche
Externí odkaz:
http://arxiv.org/abs/2306.11019
We present a multidimensional extension of Kellerer's theorem on the existence of mimicking Markov martingales for peacocks, a term derived from the French for stochastic processes increasing in convex order. For a continuous-time peacock in arbitrar
Externí odkaz:
http://arxiv.org/abs/2210.13847
Every sequence $f_1, f_2, \cdots \, $ of random variables with $ \, \lim_{M \to \infty} \big( M \sup_{k \in \mathbb{N}} \mathbb{P} ( |f_k| > M ) \big)=0\,$ contains a subsequence $ f_{k_1}, f_{k_2} , \cdots \,$ that satisfies, along with all its subs
Externí odkaz:
http://arxiv.org/abs/2204.10681
Autor:
Schachermayer, Walter
We show that, for a utility function U: R to R having reasonable asymptotic elasticity, the optimal investment process H. S is a super-martingale under each equivalent martingale measure Q, such that E[V(dQ/dP)] < "unendlich", where V is conjugate to
Externí odkaz:
http://epub.wu.ac.at/444/1/document.pdf
An installment option is a European option in which the premium, instead of being paid up-front, is paid in a series of installments. If all installments are paid the holder receives the exercise value, but the holder has the right to terminate payme
Externí odkaz:
http://epub.wu.ac.at/1584/1/document.pdf
Following [10] we continue the study of the problem of expected utility maximization in incomplete markets. Our goal is to find minimal conditions on a model and a utility function for the validity of several key assertions of the theory to hold true
Externí odkaz:
http://epub.wu.ac.at/1568/1/document.pdf
This paper solves a long-standing open problem in mathematical finance: to find a solution to the problem of maximizing utility from terminal wealth of an agent with a random endowment process, in the general, semimartingale model for incomplete mark
Externí odkaz:
http://epub.wu.ac.at/518/1/document.pdf