March 5 (Thursday) (10:00-11:00) room C.510 (new building, 5th floor)
Miklós Pintér (Corvinus University of Budapest)
The nonemptiness of the core and no-arbitrage: Two sides of the same coin
In cooperative game theory, the core is a central solution concept, and a large body of work studies conditions for its nonemptiness across different environments. In finance, the no-arbitrage property plays a similarly fundamental role in the characterization of admissible pricing functionals, with no-arbitrage theorems providing necessary and sufficient conditions for its validity. This paper shows that these two strands of results are tightly connected: both arise from the same underlying mathematical principle, namely Farkas lemma, including in infinite-dimensional settings. This unified perspective yields a common interpretation of core nonemptiness and no-arbitrage and suggests new directions for further research.
The talk is based on joint work with Bernard Cornet.