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math.PR2024★ 3 cited
Dynamic programming principle and computable prices in financial market models with transaction costs
Emmanuel Lepinette, Duc Thinh Vu
How to compute (super) hedging costs in rather general fi- nancial market models with transaction costs in discrete-time ? Despite the huge literature on this topic, most of result…
math.PR2017★ 24 cited
Conditional cores and conditional convex hulls of random sets
Emmanuel Lepinette, Ilya Molchanov
We define two non-linear operations with random (not necessarily closed) sets in Banach space: the conditional core and the conditional convex hull. While the first is sublinear, t…