Deux applications de la décomposition de Galtchouk-Kunita-Watanabe

Tahir Choulli; Christophe Stricker

Séminaire de probabilités de Strasbourg (1996)

  • Volume: 30, page 12-23

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Choulli, Tahir, and Stricker, Christophe. "Deux applications de la décomposition de Galtchouk-Kunita-Watanabe." Séminaire de probabilités de Strasbourg 30 (1996): 12-23. <http://eudml.org/doc/113925>.

@article{Choulli1996,
author = {Choulli, Tahir, Stricker, Christophe},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {semimartingale; structure conditions; Galtchouk-Kunita-Watanabe decomposition; Föllmer-Schweizer decomposition; arbitrage},
language = {fre},
pages = {12-23},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Deux applications de la décomposition de Galtchouk-Kunita-Watanabe},
url = {http://eudml.org/doc/113925},
volume = {30},
year = {1996},
}

TY - JOUR
AU - Choulli, Tahir
AU - Stricker, Christophe
TI - Deux applications de la décomposition de Galtchouk-Kunita-Watanabe
JO - Séminaire de probabilités de Strasbourg
PY - 1996
PB - Springer - Lecture Notes in Mathematics
VL - 30
SP - 12
EP - 23
LA - fre
KW - semimartingale; structure conditions; Galtchouk-Kunita-Watanabe decomposition; Föllmer-Schweizer decomposition; arbitrage
UR - http://eudml.org/doc/113925
ER -

References

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  1. J.P. Ansel et C. Stricker (1992) "Lois de martingale, densités et décomposition de Föllmer-Schweizer", Annales de l'Institut Henri Poincaré vol. 28, 375-392. Zbl0772.60033MR1183992
  2. J.P. Ansel et C. Stricker (1994a) "Décomposition de Kunita-Watanabe", Séminaire de Probabilités XXVII, Lecture Notes in Mathematics1557, 30-32, Springer. Zbl0788.60057MR1308549
  3. J.P. Ansel et C. Stricker (1994b) "Couverture des actifs contingents et prix maximum", Annales de l'Institut Henri Poincaré vol. 30, n. 2, 303-315. Zbl0796.60056MR1277002
  4. C.S. Chou, P.A. Meyer et C. Stricker (1980) "Sur les intégrales stochastiques de processus prévisibles non bornés", Séminaire de Probabilités XIV, Lecture Notes in Mathematics784, 128-139, Springer. Zbl0432.60070MR580117
  5. F. Delbaen et W. Schachermayer (1994) "A General Version of the Fundamental Theorem of Asset pricing", Mathematische Annalen300, 463-520. Zbl0865.90014MR1304434
  6. F. Delbaen et W. Schachermayer (1995a) "The Existence of Absolutely Continuous Local Martingale Measures", à paraître. Zbl0847.90013
  7. F. Delbaen et W. Schachermayer (1995b) "The No-Arbitrage Property under a Change of Numéraire", à paraître. Zbl0857.90007
  8. F. Delbaen, P. Monat, W. Schachermayer, M. Schweizer et C. Stricker (1995) "Weighted Norm Inequalities and Closedness of a Space of Stochastic Integrals", à paraître. Zbl0810.60047MR1305680
  9. F. Delbaen et H. Shirakawa (1995) " A Note on the No Arbitrage Condition for International Financial Markets", à paraître. Zbl1153.91483
  10. C. Dellacherie et P.A. Meyer (1980) "Probabilités et Potentiel", chapitre V à VIII, Hermann. Zbl0464.60001MR566768
  11. H. Fôllmer et M. Schweizer (1991) "Hedging of Contingent Claims under Incomplete Information", Applied Stochastic Analysis, Stochastics Monographs5, 389-414. Zbl0738.90007MR1108430
  12. J. Jacod (1979) "Calcul Stochastique et Problèmes de Martingales", Lecture Notes in Mathematics714, Springer. Zbl0414.60053MR542115
  13. D. Revuz et M. Yor (1991) "Continuous Martingales and Brownian Motion", Springer. Zbl0731.60002MR1083357
  14. M. Schweizer (1995) "On the Minimal Martingale Measure and the Föllmer-Schweizer decomposition", Stochastic Analysis and Applications13, 573-599. Zbl0837.60042MR1353193
  15. C. Stricker (1990) "Arbitrage et lois de martingale", Ann. Inst. Henri Poincaré, vol. 26, 451-460. Zbl0704.60045MR1066088

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