1-4 September 2015
Angers - France
Europe/Paris timezone

A result on integral functionals with infinitely many constraints

2 Sep 2015, 14:00
40m
Angers - France

Angers - France

Speaker

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).

Primary author

Prof. Martin Schweizer (ETH Zurich)

Co-author

Dr Tahir Choulli (UNiversity of Alberta)

Presentation Materials

There are no materials yet.