Closedness in the semimartingale topology for spaces of stochastic integrals with constrained integrands

Czichowsky, ChristophORCID logo; and Schweizer, Martin (2011) Closedness in the semimartingale topology for spaces of stochastic integrals with constrained integrands In: Séminaire De Probabilités Xliii. Lecture Notes in Mathematics (2006). Springer Berlin / Heidelberg, Berlin, Germany, pp. 413-436. ISBN 9783642152160
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Item Type Chapter
Copyright holders © 2011 Springer-Verlag
Keywords stochastic integrals, constrained strategies, semimartingale topology, closedness, predictability convex, projection on predictable range, predictable correspondence, optimisation under constrains, mathematical finance
Departments Mathematics
DOI 10.1007/978-3-642-15217-7_18
Date Deposited 01 Oct 2013 08:03
URI https://researchonline.lse.ac.uk/id/eprint/53252

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