IDEAS home Printed from
   My bibliography  Save this article

Essential supremum with respect to a random partial order


  • Kabanov, Yuri
  • Lépinette, Emmanuel


Inspired by the theory of financial markets with transaction costs, we study a concept of essential supremum in the framework where a random partial order in Rd is lifted to the space L0(Rd) of d-dimensional random variables. In contrast to the classical definition, we define the essential supremum as a subset of random variables satisfying some natural properties. Applications of the introduced notion to a hedging problem under transaction costs and set-valued dynamic risk measures are given.

Suggested Citation

  • Kabanov, Yuri & Lépinette, Emmanuel, 2013. "Essential supremum with respect to a random partial order," Journal of Mathematical Economics, Elsevier, vol. 49(6), pages 478-487.
  • Handle: RePEc:eee:mateco:v:49:y:2013:i:6:p:478-487
    DOI: 10.1016/j.jmateco.2013.07.002

    Download full text from publisher

    File URL:
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    1. Zachary Feinstein & Birgit Rudloff, 2012. "Time consistency of dynamic risk measures in markets with transaction costs," Papers 1201.1483,, revised Dec 2012.
    2. Bruno Bouchard & Erik Taflin, 2010. "No-arbitrage of second kind in countable markets with proportional transaction costs," Papers 1008.3276,, revised Feb 2013.
    3. Evren, Özgür & Ok, Efe A., 2011. "On the multi-utility representation of preference relations," Journal of Mathematical Economics, Elsevier, vol. 47(4-5), pages 554-563.
    Full references (including those not matched with items on IDEAS)


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Julien Baptiste & Laurence Carassus & Emmanuel L'epinette, 2018. "Pricing without martingale measure," Papers 1807.04612,, revised May 2019.
    2. Mario Sikic, 2015. "Financial market models in discrete time beyond the concave case," Papers 1512.01758,
    3. Sofiane Aboura & Emmanuel Lépinette, 2013. "An Alternative Model to Basel Regulation," Working Papers hal-00825018, HAL.
    4. Emmanuel Lepinette & Ilya Molchanov, 2017. "Conditional cores and conditional convex hulls of random sets," Papers 1711.10303,


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:mateco:v:49:y:2013:i:6:p:478-487. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.