\begin{align*}
E_{\epsilon, t} :=& \left\{ H_t \in \mathcal H_t \colon H_t \cdot \Delta S_t = \epsilon |H_t|_p  \right\}, t=1,\ldots,T,\quad
&E_\epsilon := \left\{ H \in \mathcal H \colon H_t \in E_{\epsilon,t} \text{ for } t = 1,\ldots, T \right\},\\
E_{0, t} :=& \left\{ H_t \in \mathcal H_t \colon H_t \cdot \Delta S_t = 0  \right\}, t=1,\ldots,T,\quad
&E_0 :=\left\{ H \in \mathcal H \colon H_t \in E_{0,t}
\text{ for } t = 1,\ldots, T \right\}.
\end{align*}
