Orateur
Prof.
Martin Schweizer
(ETH Zurich)
Description
A classic result (due to Borwein and Lewis) in the theory of optimisation under constraints says the following. Suppose we have n measurable functions a_i in L^q on a finite measure space and a nonnegative function x in L^p. Call b_i the integrals of x against a_i. Then there exists a function z in the norm interior of L^infty which has the same integrals b_i against a_i as x. So if the constraints given by the a_i are feasible in L^p_+, they are also feasible in L^infty_{++}.
We present an extension of this result to a setting with infinitely many, measurably parametrised constraints, and we show how this comes up and can be used in arbitrage theory.
This is based on joint work with Tahir Choulli (University of Alberta, Edmonton).
Auteur principal
Prof.
Martin Schweizer
(ETH Zurich)
Co-auteur
Dr
Tahir Choulli
(UNiversity of Alberta)
