Add to ORKGFor a given element f∈L1 and a convex cone C⊂L∞, C∩L∞+={0}, we give necessary and sufficient conditions for the existence of an element g≥f lying in the polar of C. This polar is taken in (L∞)∗ and in L1. In the context of mathematical finance the main result concerns the existence of martingale measures whose densities are bounded from below by a prescribed random variable
The convexity of the densities of harmonic measures is proven for subsets of a circle or of the real...
We characterise equality cases in matrix H¨older’s inequality and develop a divergence formulation o...
AbstractWe consider estimating the mean θ of an n dimensional normal vector X with the restriction t...
Motivated by applications in financial mathematics, Ref. 3 showed that, although $$L^{0}(\mathbb{R}_...
International audienceWe study measures on R(n) which are product measures for the usual Cartesian p...
AbstractLet μ(· ; Σ, G1) and μ(· ; Ω, G2) be elliptically contoured measures on Rk centered at 0, ha...
It is known since [24] that two one-dimensional probability measures in the convex order admit a mar...
In the problem of optimal investment with a utility function defined on (0,∞), we formulate suffici...
In this presentation we prove that the equilibrium measure of a finite union of intervals on the rea...
Let ψ be a multidimensional random variable. We show that the set of probability measures Q such tha...
37 pages, 2 figuresOur main result is to establish stability of martingale couplings: suppose that $...
In a continuous time market model we consider the problem of existence of an equivalent martingale m...
This talk has two parts. Initially, I will present a survey of various minimal energy problems in po...
Abstract. The limiting diffusion of special diploid model can be defined as a discrete generator for...
This note proves the existence of a solution to a certain martingale problem and relates the martin-...
The convexity of the densities of harmonic measures is proven for subsets of a circle or of the real...
We characterise equality cases in matrix H¨older’s inequality and develop a divergence formulation o...
AbstractWe consider estimating the mean θ of an n dimensional normal vector X with the restriction t...
Motivated by applications in financial mathematics, Ref. 3 showed that, although $$L^{0}(\mathbb{R}_...
International audienceWe study measures on R(n) which are product measures for the usual Cartesian p...
AbstractLet μ(· ; Σ, G1) and μ(· ; Ω, G2) be elliptically contoured measures on Rk centered at 0, ha...
It is known since [24] that two one-dimensional probability measures in the convex order admit a mar...
In the problem of optimal investment with a utility function defined on (0,∞), we formulate suffici...
In this presentation we prove that the equilibrium measure of a finite union of intervals on the rea...
Let ψ be a multidimensional random variable. We show that the set of probability measures Q such tha...
37 pages, 2 figuresOur main result is to establish stability of martingale couplings: suppose that $...
In a continuous time market model we consider the problem of existence of an equivalent martingale m...
This talk has two parts. Initially, I will present a survey of various minimal energy problems in po...
Abstract. The limiting diffusion of special diploid model can be defined as a discrete generator for...
This note proves the existence of a solution to a certain martingale problem and relates the martin-...
The convexity of the densities of harmonic measures is proven for subsets of a circle or of the real...
We characterise equality cases in matrix H¨older’s inequality and develop a divergence formulation o...
AbstractWe consider estimating the mean θ of an n dimensional normal vector X with the restriction t...