Skorokhod Transition in the Conic Market Model
Abstract
We examine the applicability of the Skorokhod representation theorem on filtrated probability spaces to the utility maximization problem in the Kabanov conic model of multiasset markets with proportional transaction costs. Filtrations on different stochastic bases are generally not related to one another under Skorokhod transitions, and hence the corresponding strategies may cease to be adapted. Consequently, the solutions obtained on the new probability space may not correspond to those on the original space. We show that, under fairly general conditions, the Bellman function of the control problem is preserved under changes of the underlying probability space.
Fields of Study & Subjects
Economic theories and models
Stochastic processes and financial applications
Global Financial Crisis and Policies
Publication details
- Journal / source
- Theory of Probability and Its Applications
- Publisher
- Society for Industrial & Applied Mathematics (SIAM)
- Volume
- 71
- Issue
- 1
- Pages
- 49–58
- Publication date
- 1 May 2026
- Language
- EN