Essential supremum with respect to a random partial order

Yuri Kabanov and Emmanuel Lépinette
Authors registered in the RePEc Author Service: Юрий Михайлович Кабанов

Journal of Mathematical Economics, 2013, vol. 49, issue 6, 478-487

Abstract: Inspired by the theory of financial markets with transaction costs, we study a concept of essential supremum in the framework where a random partial order in Rd is lifted to the space L0(Rd) of d-dimensional random variables. In contrast to the classical definition, we define the essential supremum as a subset of random variables satisfying some natural properties. Applications of the introduced notion to a hedging problem under transaction costs and set-valued dynamic risk measures are given.

Keywords: Random partial order; Essential supremum; Transaction costs; Set-valued dynamic risk measures (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:mateco:v:49:y:2013:i:6:p:478-487

DOI: 10.1016/j.jmateco.2013.07.002

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