Dynamic monetary risk measures for bounded discrete-time processes.
Infinitesimal behaviour of a continuous local martingale
A remark on Slutsky's theorem
An addendum to a remark on Slutsky's theorem
Strongly lower semi continuous correspondences in Banach Spaces
Si dimostra che in uno spazio di Banach una corrispondenza a valori convessi debolmente compatti che sia contemporaneamente debolmente semi-continua inferiormente e fortemente semi—continua superiormente, è fortemente semi-continua inferiormente. La dimostrazione si basa essenzialmente su di un risultato di Lindenstrauss e Troyanski sui punti fortemente esposti di insiemi convessi.
An inequality for the predictable projection of an adapted process
A general version of the fundamental theorem of asset pricing.
The Banach space of workable contingent claims in arbitrage theory
On the uniqueness of solutions to quadratic BSDEs with convex generators and unbounded terminal conditions
In [ (2008) 543–567], the authors proved the uniqueness among the solutions of quadratic BSDEs with convex generators and unbounded terminal conditions which admit every exponential moments. In this paper, we prove that uniqueness holds among solutions which admit some given exponential moments. These exponential moments are natural as they are given by the existence theorem. Thanks to this uniqueness result we can strengthen the nonlinear Feynman–Kac formula proved in [ ...
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