作者：Schäl, M
作者单位：University of Bonn
摘要：The price of stocks is modelled by a discrete-time, square-integrable, vector-valued process X. No further boundedness condition on X is imposed. Contingent claims X are described by square-integrable random variables. One looks for values nu of the initial wealth nu that allow for super-hedging H by some portfolio plan. In several cases, the smallest value nu is known to coincide with the maximal expectation of H under equivalent martingale measures. Here, within an L-2-framework, another suf...
作者：Zervos, M
作者单位：Newcastle University - UK
摘要：The problem of strong consistency of sequences of optimal solutions to stochastic optimization problems is considered. This problem is related to a large number of applications including Bayesian decision problems and Monte Carlo simulations, as well as a number of statistical methodologies such as maximum likelihood estimation. The theory of epiconvergence being a framework within which such results can be established, the epiconvergence of the performance criteria of a sequence of stochastic...
