Kardaras, Constantinos; Platen, Eckhard - Finance Discipline Group, Business School - 2008
also ensures that the investor’s wealth stays nonnegative, there-
fore admissible, even in the presence of jumps in the … goes to infinity to obtain
limsup
k→∞
Q[τk < T] ≤ 1 +epsilon1epsilon1 limsup
k→∞
Q[ZkT ≤ 1−epsilon12] = 0,
which completes … NUPBR condition of Definition 2.1 is in force, then we consider the total returns process
R = (R1t,...,Rdt)t∈R+, where R …