XLIII: 17, 395-412, LNM 2006 (2011)
CZICHOWSKY, Christoph;
WESTRAY, Nicholas;
ZHENG, Harry
Convergence in the semimartingale topology and constrained portfolios (
Martingale theory,
Mathematical finance)
Nature: Original
XLIII: 18, 413-436, LNM 2006 (2011)
CZICHOWSKY, Christoph;
SCHWEIZER, Martin
Closedness in the semimartingale topology for spaces of stochastic integrals with constrained integrandsKeywords: Stochastic integrals,
Constrained strategies,
Semimartingale topology,
Closedness,
Predictably convex,
Projection on predictable range,
Predictable correspondence,
Optimisation under constraints,
Mathematical financeNature: Original
