Some remarks on the optional decomposition theorem

Christophe Stricker; Jia-An Yan

Séminaire de probabilités de Strasbourg (1998)

  • Volume: 32, page 56-66

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Stricker, Christophe, and Yan, Jia-An. "Some remarks on the optional decomposition theorem." Séminaire de probabilités de Strasbourg 32 (1998): 56-66. <http://eudml.org/doc/114001>.

@article{Stricker1998,
author = {Stricker, Christophe, Yan, Jia-An},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {semimartingale; incomplete market; optional decomposition; mathematical finance},
language = {eng},
pages = {56-66},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Some remarks on the optional decomposition theorem},
url = {http://eudml.org/doc/114001},
volume = {32},
year = {1998},
}

TY - JOUR
AU - Stricker, Christophe
AU - Yan, Jia-An
TI - Some remarks on the optional decomposition theorem
JO - Séminaire de probabilités de Strasbourg
PY - 1998
PB - Springer - Lecture Notes in Mathematics
VL - 32
SP - 56
EP - 66
LA - eng
KW - semimartingale; incomplete market; optional decomposition; mathematical finance
UR - http://eudml.org/doc/114001
ER -

References

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  1. [1] J.P. Ansel and C. Stricker, Couverture des actifs contingents et prix maximum, Ann. Inst. Henri Poincaré, vol. 30. n° 2, p. 303-315,1994. Zbl0796.60056MR1277002
  2. [2] N. El Karouiand M.C. Quenez, Dynamic programming and pricing of contingent claims in an incomplete market, SIAM Journal on Control and Optimization, 33 (1), p. 27-66, 1995. Zbl0831.90010MR1311659
  3. [3] M. Émery, Compensation de processus à variation finie non localement intégrables, Séminaire Prob. XIV, LN in Math.784, p. 152-160, Springer1980. Zbl0428.60054MR580120
  4. [4] H. Föllmer and Y. Kabanov, On the optional decomposition theorem and the Lagrange multipliers, to appear in Finance and Stochastics, 1996. Zbl0894.90016MR1804665
  5. [5] S.D. Jacka, A. MartingaleRepresentation Result and an Appplication to Incomplete Financial Markets, Mathematical Finance2, p. 239-250, 1992. Zbl0900.90044
  6. [6] J. Jacod, Calcul stochastique et problèmes de martingales, LN in Math.714, Springer1979. Zbl0414.60053MR542115
  7. [7] D.O. Kramkov, Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets. To appear in Prob. Theory and Related Fields, 1996. Zbl0853.60041MR1402653

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