35:48
publiée le 19 octobre 2026
Explicit characterization and backward construction of superhedging prices with transaction costs
De Amal Omrani
Market delay and $G$-expectations
De Yan Dolinsky
Apparaît dans les collections : Advances in stochastic analysis for risk modeling / Avancées en analyse stochastique pour la modélisation des risques, Exposés de recherche
We study duality and asymptotic of super–replication with market delay. Our main result is the link between scaling limits of delayed markets and the $G$-expectation of Peng.
