A Note on Transition Kernels for the Most UnfavourableMixed Strategies of the Market  

作　　者：Sergey N.Smirnov 

机构地区：[1]Faculty of Computational Mathematics and Cybernetics,Lomonosov Moscow State University,Moscow,Russian Federation 119991

出　　处：《Journal of the Operations Research Society of China》2024年第1期35-50,共16页中国运筹学会会刊（英文）

基　　金：supported by Moscow Center of Fundamental and Applied Mathematics(No.75-15-2022-284).

摘　　要：We consider a deterministic model of market evolution with trading constraints andapply a game-theoretic approach to the superhedging problem.We obtain sufficientconditions for the game equilibrium and prove under these conditions the existenceof a Borel-measurable transition kernel describing dependence on price prehistory ofthe most unfavourable mixed strategy of the market.

关 键 词：Superhedging Guaranteed deterministic approach Optimal mixedstrategies of the market Borel-measurable transition kernel Game equilibrium 

分 类 号：O17[理学—数学]