英文标题：
《The super-replication theorem under proportional transaction costs
revisited》
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作者：
Walter Schachermayer
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最新提交年份：
2014
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英文摘要：
We consider a financial market with one riskless and one risky asset. The super-replication theorem states that there is no duality gap in the problem of super-replicating a contingent claim under transaction costs and the associated dual problem. We give two versions of this theorem. The first theorem relates a num\\\'eraire-based admissibility condition in the primal problem to the notion of a local martingale in the dual problem. The second theorem relates a num\\\'eraire -free admissibility condition in the primal problem to the notion of a uniformly integrable martingale in the dual problem.
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中文摘要：
我们考虑一个只有一种无风险资产和一种风险资产的金融市常超级复制定理表明，在交易费用下的超级复制未定权益问题和相关对偶问题中不存在对偶缺口。我们给出了这个定理的两个版本。第一个定理将原问题中基于数值的可容许性条件与对偶问题中的局部鞅概念联系起来。第二个定理将原问题中的无干扰可容许条件与对偶问题中的一致可积鞅的概念联系起来。
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分类信息：

一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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