Paris-Princeton Lectures on Mathematical Finance 2004
The Paris-Princeton Lectures in Financial Mathematics, of which this is the third volume, will, on an annual basis, publish cutting-edge research in self-contained, expository articles from outstanding - established or upcoming! - specialists. The ai
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René A. Carmona Arturo Kohatsu-Higa Pierre-Louis Lions Erik Taflin
Ivar Ekeland Jean-Michel Lasry Huyên Pham
Paris-Princeton Lectures on Mathematical Finance 2004
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Lecture Notes in Mathematics Editors: J.-M. Morel, Cachan F. Takens, Groningen B. Teissier, Paris
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René A. Carmona · Ivar Ekeland Arturo Kohatsu-Higa · Jean-Michel Lasry Pierre-Louis Lions · Huyên Pham Erik Taflin
Paris-Princeton Lectures on Mathematical Finance 2004 Editorial Committee: R.A. Carmona, E. Çinlar, I. Ekeland, E. Jouini, J.A. Scheinkman, N. Touzi
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Authors René A. Carmona
Ivar Ekeland
Bendheim Center for Finance Department of Operations Research and Financial Engineering Princeton University, Princeton NJ 08544, USA e-mail: [email protected]
Canada Research Chair in Mathematical Economics University of British Columbia Department of Mathematics 1984 Mathematics Road V6T 1Z2 Canada e-mail: [email protected]
Arturo Kohatsu-Higa
Jean-Michel Lasry
Graduate School of Engineering Sciences Osaka University Machikaneyama Cho 1–3 Osaka 560-8531, Japan e-mail: [email protected]
CALYON 9, Quai du Président Paul Doumer 92920 Paris-La Défense Cedex, France e-mail: [email protected]
Pierre-Louis Lions
Laboratoire de Probabilités et Modèles Aléatoires CNRS, UMR 7599 Université Paris 7 and Institut Universitaire de France Paris CX 05, France e-mail: [email protected]
Collège de France 11, place Marcelin Berthelot 75005 Paris, CX 05, France e-mail: [email protected]
Erik Taflin Chair in Mathematical Finance EISTI, Ecole Internationale des Sciences du Traitement de l’Information Avenue du Parc 95011 Cergy, France e-mail: tafl[email protected]
Huyên Pham
[The addresses of the volume editors appear on page IX]
Library of Congress Control Number: 2007930225 Mathematics Subject Classification (2000): 91B28, 91B70, 60G49, 49J55, 60H07, 90C46 ISSN print edition: 0075-8434 ISSN electronic edition: 1617-9692 ISBN 978-3-540-73326-3 Springer Berlin Heidelberg New York DOI 10.1007/978-3-540-73327-0 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable for prosecution under the German Copyright Law. Springer is a part of Springer Science+Business Media springer.com c Springer-Verlag Berlin Heidelberg 2007 The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Typesetting by the authors and SPi us
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