On the closure in the Emery topology of semimartingale wealth-process sets
arXiv:1108.0945 · doi:10.1214/12-AAP872
Abstract
A wealth-process set is abstractly defined to consist of nonnegative càdlàg processes containing a strictly positive semimartingale and satisfying an intuitive re-balancing property. Under the condition of absence of arbitrage of the first kind, it is established that all wealth processes are semimartingales and that the closure of the wealth-process set in the Emery topology contains all "optimal" wealth processes.
Published in at http://dx.doi.org/10.1214/12-AAP872 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
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