- edoc-Server Startseite
- Auflistung nach Autor
Auflistung nach Autor "Korf, Lisa A."
Anzeige der Publikationen 1-4 von 4
-
2001-11-13BuchMartingale pricing measures in incomplete markets via stochastic programming duality in the dual of L ∞ King, Alan J.; Korf, Lisa A.We propose a new framework for analyzing pricing theory for incomplete markets and contingent claims, using conjugate duality and optimization theory. Various statements in the literature of the fundamental theorem of asset ...
-
2000-03-21BuchRandom lsc functions Korf, Lisa A.; Wets, Roger J.-B.Random lsc (lower semicontinuous) functions can be indentified with a vector-valued random variable by means of an appropriate scalarization. It is shown that stationarity, ergodicity and independence properties are preserved ...
-
2000-02-07BuchRandom lsc functions Korf, Lisa A.; Wets, Roger J.-B.An ergodic theorem for random lsc functions is obtained by relying on a (novel) 'scalarization' of such functions. In the process, Kolmogorov's extension theorem for randon lsc functions is established. Applications to ...
-
2001-07-26BuchStochastic programming duality Korf, Lisa A.A new duality theory is developed for a class of stochastic programs in which the probability distribution is not necessarily discrete. This provides a new framework for problems which are not necessarily bounded, are not ...