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Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs

   
@article{EJP625,
	author = {Jean-Francois Chassagneux and Bruno Bouchard},
	title = {Representation of continuous linear forms on the set of  ladlag processes  and the hedging of American claims under proportional costs},
	journal = {Electron. J. Probab.},
	fjournal = {Electronic Journal of Probability},
	volume = {14},
	year = {2009},
	keywords = {Randomized stopping times; American options;  transaction costs},
	abstract = {We discuss a d-dimensional version (for  làdlàg optional processes)  of a duality result by Meyer (1976)  between {bounded} càdlàg adapted processes  and random measures. We show that it allows to establish, in a very natural way, a dual representation  for the set of initial endowments which allow to super-hedge a given  American claim in a continuous time model with proportional transaction costs. It generalizes a previous result of Bouchard and Temam (2005) who considered a discrete time setting. It also completes the very recent work of Denis, De Vallière and Kabanov (2008) who studied càdlàg American claims and used a completely different approach.},
	pages = {no. 24, 612-632},
	issn = {1083-6489},
	doi = {10.1214/EJP.v14-625},    
        url = {http://ejp.ejpecp.org/article/view/625}}