Convex analysis for sets of local martingales measures
Josef Štěpán, P. Ševčík (2000)
Acta Universitatis Carolinae. Mathematica et Physica
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Josef Štěpán, P. Ševčík (2000)
Acta Universitatis Carolinae. Mathematica et Physica
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Josef Štěpán (2003)
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Werner Brannath, Walter Schachermayer (1999)
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A characterization of the transport property is given. New properties for strongly nonatomic probabilities are established. We study the relationship between the nondifferentiability of a real function f and the fact that the probability measure , where f*(x):=(x,f(x)) and λ is the Lebesgue measure, has the transport property.
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