A Result on Integral Functionals with Infinitely Many Constraints

Tahir Choulli and Martin Schweizer
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Tahir Choulli: University of Alberta
Martin Schweizer: ETH Zurich and Swiss Finance Institute

No 15-38, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: A classic paper of Borwein/Lewis (1991) studies optimisation problems over L^p_+ with finitely many linear equality constraints, given by scalar products with functions from L^q. One key result shows that if some x in L^p_+ satisfies the constraints and if the constraint functions are pseudo-Haar, the constraints can also be realised by another function y in the interior of L^\infty_+ . We establish an analogue of this result in a setting with infinitely many, measurably parametrised constraints, and we briefly sketch an application in arbitrage theory.

Keywords: linear equality constraints; feasible solution; infinitely many constraints; random measure; arbitrage theory; equivalent martingale measures (search for similar items in EconPapers)
JEL-codes: C60 C65 Z00 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2015-09
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1538

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