- Working Paper
Consider an Rd-valued semimartingale S and a sequence of Rd-valued S-integrable predictable processes Hn valued in some closed convex set K ⊂ Rd, containing the origin. Suppose that the realvalued sequence Hn · S converges to X in the semimartingale topology. We would like to know whether we may write X = H0 · S for some Rd-valued, S-integrable process H0 valued in K? This question is of crucial importance when looking at superreplication under constraints. The paper considers a generalization of the above problem to K = K(ω, t) possibly time dependent and random Show more
Journal / seriesWorking paper series
Organisational unit03658 - Schweizer, Martin
NotesFirst version November 2004. Current version February 2005.
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