- Working Paper
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. Show more
Journal / seriesSwiss Finance Institute Research Paper
PublisherUniversity of Geneva
Subjectlinear equality constraints; Feasible solution; Infinitely many constraints; Random measure; Arbitrage theory; Equivalent martingale measures
Organisational unit03658 - Schweizer, Martin / Schweizer, Martin
NotesPublished online 20 September 2015.
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