Found 3 document(s)
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We consider the minimal super-solution of a backward stochastic differential equation with constraint on the gains-process. The terminal condition is given by a function of the terminal value of a forward stochastic diff...
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We discuss the no-arbitrage conditions in a general framework for discrete-time models of financial markets with proportional transaction costs and general information structure. We extend the results of Kabanov and al. ...
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In this note, we consider a general discrete time financial market with proportional transaction costs as in [4], [5], [6], and [10]. We provide a dual formulation for the set of initial endowments which allow to super-h...