Optional processes with non-exploding realized power variation along stopping times are làglàd

HIGHLIGHTS

• who: COMMUNICATIONS and collaborators from the Frankfurt MathFinance Institute, Goethe-Universitu00e4t, Frankfurt aM, Germany have published the Article: OPTIONAL PROCESSES WITH NON-EXPLODING REALIZED POWER VARIATION ALONG STOPPING TIMES ARE Lu00c0GLu00c0D, in the Journal: (JOURNAL)

SUMMARY

In financial market models with proportional transaction costs and effective friction trading strategies have to be almost surely of finite variation to avoid infinite losses (see Campi and Schachermayer ). A function f: → R is called làglàd ("avec des limites à gauche et des limites à droite") if for any t ∈ (0, T ] the limit lims and amp . . .

 



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