Unicité et existence de la loi minimale

Jean-Pascal Ansel; Christophe Stricker

Séminaire de probabilités de Strasbourg (1993)

  • Volume: 27, page 22-29

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Ansel, Jean-Pascal, and Stricker, Christophe. "Unicité et existence de la loi minimale." Séminaire de probabilités de Strasbourg 27 (1993): 22-29. <http://eudml.org/doc/113849>.

@article{Ansel1993,
author = {Ansel, Jean-Pascal, Stricker, Christophe},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {incomplete markets; minimal martingale laws; financial market; representation for the density},
language = {fre},
pages = {22-29},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Unicité et existence de la loi minimale},
url = {http://eudml.org/doc/113849},
volume = {27},
year = {1993},
}

TY - JOUR
AU - Ansel, Jean-Pascal
AU - Stricker, Christophe
TI - Unicité et existence de la loi minimale
JO - Séminaire de probabilités de Strasbourg
PY - 1993
PB - Springer - Lecture Notes in Mathematics
VL - 27
SP - 22
EP - 29
LA - fre
KW - incomplete markets; minimal martingale laws; financial market; representation for the density
UR - http://eudml.org/doc/113849
ER -

References

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  1. [1] J.P. Ansel, C. Stricker : Lois de martingale, densités et décomposition de Fôllmer-Schweizer, (1991). A paraître dans les Annales de l'Institut Henri Poincaré. Zbl0772.60033MR1183992
  2. [2] J.P. Ansel, C. Stricker : Simulation des actifs contingents. A paraître. 
  3. [3] D.B. Colwell, R.J. Elliot : Martingale Representation and non attainable Contingent claims. A paraître. Zbl0790.90006
  4. [4] F. Delbaen : Representing Martingale Measures when Asset Prices are Continuous and Bounded. A paraître. Zbl0900.90101
  5. [5] C. Dellacherie, P.A. Meyer : Probabilités et potentiel. Chapitres V à VIII. Théorie des Martingales. Hermann (1980). Zbl0464.60001MR566768
  6. [6] H. Fôllmer, M. Schweizer : Hedging of Contingent claims under Incomplete Inforamtion. Applied Stochastic Analysis, Stochastics Monographs, vol. 5, 389-414, Gorden and Breach (1991). Zbl0738.90007MR1108430
  7. [7] N. Hofmann, E. Platen, M. Schweizer : Option Pricing under Incompleteness and Stochastic Volatility. A paraître. Zbl0900.90095
  8. [8] J. Jacod : Calcul Stochastique et Problème de Martingales. L.N. in M., 714. Springer1979. Zbl0414.60053MR542115
  9. [9] I. Karatzas, J.P. Lehoczky, S.E. Shreve, G.L. Xu : Martingale and duality Methods for utility Maximization in an Incomplete Market. SIAM J. Control and Optimization, vol. 29, n°3, 702-730, May 1991. Zbl0733.93085MR1089152
  10. [10] I. Karatzas, J.P. Lehoczky, S.E. Shreve : Retractation of equivalent martingale measures and optimal market completions. 
  11. [11] N. El Karoui, M.C. Quenez : Programmation Dynamique et Evaluation des actifs Contingents en Marché Incomplet. Preprint, Université Paris VI (1991). Zbl0736.90009MR1138563
  12. [12] D. Lépingle : Orthogonalité et intégrabilité uniforme de martingales discrètes. A paraître dans le Séminaire de Probabilités XXVI. Zbl0765.60036
  13. [13] M. Schweizer : Martingale Densities for General Asset Prices, SFB303 discussion paper n° B-194, Université de Bonn (à paraître dans Journal of Mathematical Economics). Zbl0762.90014
  14. [14] C. Yoeurp : Décomposition des martingales locales et formules exponentielles. Séminaire de Probabilités X, Lect. Notes Math., 511, 342-480, Springer (1976). Zbl0346.60033MR451395

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