( T ? t ) + B r h ? i = 1 y i λ i ?. (42) Second, we show that problem (8)–(9) is feasible for every p ∈ R 1 and p ?= p 0if the condi- tion (36) holds. To do so, we construct a family of portfolios u β( · ) = β u ( · ) for β∈ R 1, where u ( t ) ≡ u ( t , Y ( t ?)) = B ( Y ( t ?))ψ( t , Y ( t ?)). (43) Then it follows from the following argument that u β( · )is admissible for each β∈ R 1. First, it followsfromEquation(39) that u β( · ) is { F t }-predictable. Then,bycondition C1andEquation(42), we know that there is some nonnegative constant K 1such that u ( t , Y ( t ?)) ?≤ K 1 e ( 1 + B + B ( 1 + ?( 1 /λ))) L (λ t ). (44) Downloaded by [Southeast University] at 17:18 26 November 2011
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