Predictable representation of martingale spaces and changes of probability measures

Darrell Duffie

Séminaire de probabilités de Strasbourg (1985)

  • Volume: 19, page 278-284

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Duffie, Darrell. "Predictable representation of martingale spaces and changes of probability measures." Séminaire de probabilités de Strasbourg 19 (1985): 278-284. <http://eudml.org/doc/113524>.

@article{Duffie1985,
author = {Duffie, Darrell},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {multiplicity; predictable representation; canonical decomposition; martingale generator},
language = {eng},
pages = {278-284},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Predictable representation of martingale spaces and changes of probability measures},
url = {http://eudml.org/doc/113524},
volume = {19},
year = {1985},
}

TY - JOUR
AU - Duffie, Darrell
TI - Predictable representation of martingale spaces and changes of probability measures
JO - Séminaire de probabilités de Strasbourg
PY - 1985
PB - Springer - Lecture Notes in Mathematics
VL - 19
SP - 278
EP - 284
LA - eng
KW - multiplicity; predictable representation; canonical decomposition; martingale generator
UR - http://eudml.org/doc/113524
ER -

References

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  1. 1. Bismut, J., Theorie Probabiliste du Control des Diffusions, Memoirs of The American Mathematical Society4 ( 1976), . Zbl0323.93046MR453161
  2. 2. Davis, M.H. AND P. Varaiya, The Multiplicity of an Increasing Family of σ-Fields, The Annals of Probability2 ( 1974), 958 - 963. Zbl0292.60071MR370754
  3. 3. Dellacherie, C. AND P. Meyer, Probabilities and Potential B: Theory of Martingales, North-Holland Publishing Company, New York, 1982. Zbl0494.60002MR745449
  4. 4. Duffie, D., "Stochastic Equilibria: Existence, Spanning Number, and The 'No Expected Gain From Trade' Hypothesis", Research Paper , Graduate School of Business, Stanford University, July 1984. Zbl0602.90025
  5. 5. Duffie, D. AND C. Huang, "Implementing Arrow-Debreu equilibria by continuous trading of few long lived securities", Working Paper , Graduate School of Business, Stanford University, February (Revised: July, 1984) 1983. Zbl0576.90014
  6. 6. Harrison, J. AND D. Kreps, Martingales and arbitrage in multiperiod securities markets, Journal of Economic Theory20 (June 1979), 381-408. Zbl0431.90019MR540823
  7. 7. Jacod, J., A general theorem of representation for martingales, Proceedings of the Symposia in Pure Mathematics31 ( 1977), 37-53. Zbl0362.60068MR443074
  8. 8. —, Calcul Stochastique et Problemes de Martingales, Lecture Notes in Mathematics, No. 714, Berlin: Springer Verlag, 1979. Zbl0414.60053MR542115
  9. 9. Kunita, H. AND S. Watanabe, On square-integrable martingales, Nagoya Mathematics Journal30 ( 1967), 209-245. Zbl0167.46602MR217856
  10. 10. Lenglart, E., Transformation des martingales locales par changement absolument continu de probabilities, Zeitschrift fur Wahrscheinlichkeitstheorie39 ( 1977), 65-70. Zbl0339.60045MR448541
  11. 11. Liptser, R. AND A. Shiryayev, Statistics of Random Processes I: General Theory, Springer-Verlag, New York, 1977. Zbl0364.60004MR474486
  12. 12. Memin, Jean, Espaces de semi-martingale et changement de probabilite, Zeitschrift fur Wahrscheinlichkeitstheorie52 ( 1980), 9-39. Zbl0407.60046MR568256

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