On introduit une variante des “doubles limites interchangeables” de Grothendieck, les “doubles limites ordonnées” et on en déduit un théorème de maximinimax. En introduisant des conditions de convexité convenables, on transforme celui-ci en un théorème de minimax. Ces résultats permettant de retrouver de façon simple un théorème de maximinimax de Simons.
We consider an illiquid financial market with different regimes modeled by a continuous time finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a Cox process with intensity depending on the market regime. Moreover, the risky asset price is subject to liquidity shocks, which change its rate of return and volatility, and induce jumps on its dynamics. In this setting, we study the problem of an economic agent optimizing her expected utility from consumption...