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dc.contributor.author
Choulli, Tahir
dc.contributor.author
Schweizer, Martin
dc.date.accessioned
2017-06-11T21:44:27Z
dc.date.available
2017-06-11T21:44:27Z
dc.date.issued
2015-09-14
dc.identifier.other
10.2139/ssrn.2662476
dc.identifier.uri
http://hdl.handle.net/20.500.11850/108047
dc.description.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.
dc.language.iso
en
dc.publisher
University of Geneva
dc.subject
linear equality constraints
dc.subject
Feasible solution
dc.subject
Infinitely many constraints
dc.subject
Random measure
dc.subject
Arbitrage theory
dc.subject
Equivalent martingale measures
dc.title
A Result on Integral Functionals with Infinitely Many Constraints
dc.type
Working Paper
ethz.journal.title
Swiss Finance Institute Research Paper
ethz.journal.volume
15
ethz.journal.issue
38
ethz.size
13 p.
ethz.notes
Published online 20 September 2015.
ethz.identifier.nebis
005801385
ethz.publication.place
Geneva
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.date.deposited
2017-06-11T21:45:10Z
ethz.source
ECIT
ethz.identifier.importid
imp593653c7773d130168
ethz.ecitpid
pub:168823
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-18T18:33:46Z
ethz.rosetta.lastUpdated
2019-02-02T07:13:47Z
ethz.rosetta.versionExported
true
ethz.COinS
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