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The Smirnov property for weighted lebesgue spaces

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posted on 2025-01-24, 10:59 authored by Eberhard MayerhoferEberhard Mayerhofer

We establish lower norm bounds for multivariate functions within weighted Lebesgue spaces, characterised by a summation of functions whose components solve a system of nonlinear integral equations. This problem originates in portfolio selection theory, where these equations allow one to identify mean-variance optimal portfolios, composed of standard European options on several underlying assets. We elaborate on the Smirnov property—an integrability condition for the weights that guarantees the uniqueness of solutions to the system. Sufficient conditions on weights to satisfy this property are provided, and counterexamples are constructed, where either the Smirnov property does not hold or the uniqueness of solutions fails.

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Publication

Mathematics 12(19), 3135

Publisher

MDPI

Department or School

  • Mathematics & Statistics

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