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Limit Theorems for Measure-Valued Diffusion Processes that Arise in Wave Propagation in a Randomly Inhomogenous Ocean
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Controlled markov processes, viscosity solutions and applications to mathematical finance
No full textGinzburg-Landau equation and motion by mean curvature, II: Development of the initial interface
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Duality and Convergence for Binomial Markets with Friction
No full textWe prove limit theorems for the super-replication cost of European options in a Binomial model with friction. The examples covered are markets with proportional transaction costs and the illiquid markets. The dual representation for the super-replication cost in these models are obtained and used to prove the limit theorems. In particular, the existence of the liquidity premium for the continuous time limit of the model proposed in [6] is proved. Hence, this paper extends the previous convergence result of [13] to the general non-Markovian case. Moreover, the special case of small transaction costs yields, in the continuous limit, the -expectation of Peng as earlier proved by Kusuoka in [14].
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